A Network Model of Systemic Risk: Identifying the Sources of Dependence Across Institutions

Serie

• Documentos de trabajo

Resumen

• We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is calibrated to balance sheet data on the Colombian financial sector. Results indicate that commercial banks are the most systemically important financial institutions in the system. Whereas government owned institutions are the most vulnerable institutions in the system.

autores

• Castro Iragorri, Carlos
• Ordoñez-Herrera, Juan Sebastian

fecha de publicación

• 2012-06

Área temática

• C21 - Modelos de sección cruzada; Modelos espaciales; Modelos de efecto de tratamiento; Regresiones cuantiles
• C58 - Econometría financiera
• G32 - Política de financiación; riesgo financiero y gestión de riesgos; Estructura del capital y de la propiedad; Valor de empresa; fondo de comercio

Enfoque geográfico

• Colombia  Country
• South America  Continent

Líneas de investigación

• Common Exposure
• Contagion
• Network Models
• Systemic Risk

Issue

• 9651