Rollover Risk, Network Structure and Systemic Financial Crises

Anand, Kartik; Gai, Prasanna; Marsili, Matteo

doi:10.2139/ssrn.1507196

Cited by 20 publications

(24 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Their analysis suggests that this channel of contagion is likely to be considerably more important than simple spill-over effects. Another potential consequence of a confidence crisis is that counterparties stop rolling over debt, which may lead to a funding crisis (Allen et al, 2012;Anand et al, 2012).…”

Section: Further Researchmentioning

confidence: 99%

The systemic implications of bail-in: A multi-layered network approach

Hüser

Hałaj

Kok

et al. 2018

Journal of Financial Stability

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Terms of use: Documents in Working Paper SeriesThe systemic implications of bail-in: a multi-layered network approach No 2010 / February 2017January 13, 2017 AbstractWe present a tractable framework to assess the systemic implications of bail-in. To this end, we construct a multi-layered network model where each layer represents the securities crossholdings of a specific seniority among the largest euro area banking groups. On this basis, the bail-in of a bank can be simulated to identify the direct contagion risk to the other banks in the network. We find that there is no direct contagion to creditor banks. Spill-overs also tend to be small due to low levels of securities cross-holdings in the interbank network. We also quantify the impact of a bail-in on the different liability holders. In the baseline scenario, shareholders and subordinated creditors are always affected by the bail-in, senior unsecured creditors in 75% of the cases. Finally, we compute the effect of the bail-in on the network topology in each layer.We find that a bail-in significantly reshapes interbank linkages within specific seniority layers.

show abstract

Section: Further Researchmentioning

confidence: 99%

The systemic implications of bail-in: A multi-layered network approach

Hüser

Hałaj

Kok

et al. 2018

Journal of Financial Stability

View full text Add to dashboard Cite

show abstract

“…In what follows we focus on research related to the analysis of banking systems, starting with simple networks and then moving to complex ones. 14 …”

Section: Systemic Risk In Complex Financial Network: Theoretical Devmentioning

confidence: 99%

Complex Financial Networks and Systemic Risk: A Review

Bougheas

Kirman

2015

Dynamic Modeling and Econometrics in Economics and Finance

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying special attention to those that apply complex analysis techniques. Applications of these techniques for the analysis and pricing of systemic risk has already provided significant benefits at least at the conceptual level but it also looks very promising from a practical point of view. Terms of use: Documents in EconStor mayJEL-Code: D850, G200.

show abstract

“…Links bear the actual economic meaning of banks' cross borrowing and lending. A crucial aspect of our analysis lies in the fact that those cross investment positions (hence the network links) result endogenously from the 6 See also Cifuentes, Ferucci and Shin [14] or Due and Zhu [15] for other centralized mechanisms. which arise after (t) iterations of the tâtonnement process.…”

Section: The Modelmentioning

confidence: 99%

Endogenous Banks' Networks, Cascades and Systemic Risk

Bluhm¹,

Faia

Krahnen

2013

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in resales: risk is trasmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by resales. We use the model to assess the evolution of the network conguration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks and to analyze the eects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.

show abstract

Rollover Risk, Network Structure and Systemic Financial Crises

Cited by 20 publications

References 29 publications

The systemic implications of bail-in: A multi-layered network approach

The systemic implications of bail-in: A multi-layered network approach

Complex Financial Networks and Systemic Risk: A Review

Endogenous Banks' Networks, Cascades and Systemic Risk

Contact Info

Product

Resources

About