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原文連結
論文資訊
- 類型：已發表論文
- 日期：2017
摘要
In this paper we study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps (CDSs) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can be designed to rewire the 網絡 of interbank exposures, in ways that make it more resilient to insolvency cascades. In devising a systemic insurance surcharge to be added to the CDS spread, a regulator will consider 資訊 about the topology of the interbank 網絡. Thus, CDS contracts are effectively penalized according to how much they contribute to increasing systemic risk. CDS contracts that reduce systemic risk remain untaxed. We simulate this regulated CDS market using an 智能體-based model (CRISIS macro-financial model) and
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