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原文連結
論文資訊
- 類型：已發表論文
- 日期：2014-10-13
摘要
We study the problem of interacting channels of contagion in financial 網絡s. The first channel of contagion is counterparty failure risk; this is captured empirically using data for the Austrian interbank 網絡. The second channel of contagion is overlapping portfolio exposures; this is studied using a stylized model. We perform stress tests according to different protocols. For the parameters we study neither channel of contagion results in large effects on its own. In contrast, when both channels are active at once, bankruptcies are much more common and have large systemic effects.
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