2013
DOI: 10.2139/ssrn.2235520
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Endogenous Banks' Networks, Cascades and Systemic Risk

Abstract: 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… Show more

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Cited by 49 publications
(61 citation statements)
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“…Under mark-to-market accounting, the endogenous fall in market prices negatively affects other banks' balance sheets. Cifuentes et al (2005) and Bluhm et al (2013) also formalize this mechanism. Our model encompasses both views and shows that both are important to account for risk propagation.…”
Section: Related Literaturementioning
confidence: 90%
See 3 more Smart Citations
“…Under mark-to-market accounting, the endogenous fall in market prices negatively affects other banks' balance sheets. Cifuentes et al (2005) and Bluhm et al (2013) also formalize this mechanism. Our model encompasses both views and shows that both are important to account for risk propagation.…”
Section: Related Literaturementioning
confidence: 90%
“…First, it contributes to the literature which tries to assess the trade-offs between risk sharing and risk propagation. Using an interbank network modelled as a credit chain, Allen and Gale (2000) show the existence of 8 See also Bluhm et al (2013) and Halaj and Kok (2014).…”
Section: Related Literaturementioning
confidence: 99%
See 2 more Smart Citations
“…is limited (Bluhm et al, 2013;Bluhm and Krahnen, 2014). Aymanns and Georg (2015) additionally argue that the vulnerability of the financial sector to common shocks is stronger if banks pursue similar investment strategies.…”
Section: Introductionmentioning
confidence: 99%