An Integrated Model of Systemic Risk in Financial Networks
1 hour 28 mins,
161.12 MB,
MP3
44100 Hz,
249.97 kbits/sec
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About this item
| Description: |
Weber, S (Leibniz Universität Hannover)
Thursday 06 November 2014, 10:00-11:00 |
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| Created: | 2014-11-12 16:16 |
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| Collection: | Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches |
| Publisher: | Isaac Newton Institute |
| Copyright: | Weber, S |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
|
| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | The talk presents a comprehensive model of a financial system that integrates network effects (cf. Eisenberg & Noe (2001)), bankruptcy costs (cf. Rogers & Veraart (2013)), cross- holdings (cf. Elsinger (2009)), and fire sales (cf. Cifuentes, Shin & Ferrucci (2005)). For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. Systemic risk maesures and the number of defaults corresponding to the greatest price-payment equilibrium are analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, cross-holdings and fire sales on systemic risk. |
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| MP3 * | 44100 Hz | 249.97 kbits/sec | 161.12 MB | Listen | Download | |
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