A Network Model of Financial System Resilience
Abstract
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents - domestic banks, overseas banks, and firms. Calibrating the model to advanced country banking sector data, this preliminary model generates broadly...
Paper Details
Title
A Network Model of Financial System Resilience
Published Date
Jan 1, 2011
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