How Likely is Contagion in Financial Networks?

Journal of Banking & Finance, pp. 383-399, 2015.

Cited by: 28|Bibtex|Views0|DOI:https://doi.org/10.1016/j.jbankfin.2014.02.006
Other Links: academic.microsoft.com|www.sciencedirect.com
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Abstract:

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate the extent to which interconnections increase expected losses and defaults under a wide range of shock distributions. In contrast to most work on financial networks, we assume only minimal ...More

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