Contagion in Financial Networks: A Threat Index

• 成果类型: Article
• 署名作者: Demange, Gabrielle
• 署名单位: Paris School of Economics
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2592
• 发表日期: 2018
• 页码: 955-970
• 关键词: propagation of defaults; Financial linkages; intervention policy

摘要

This paper proposes to measure the spillover effects that cross liabilities generate on the magnitude of default in a system of financially linked institutions. Based on a simple model and an explicit criterion-the aggregate debt repayments-the measure is defined for each institution, affected by its characteristics and links to others. These measures-one for each institution-summarize relevant information on the interaction between the liabilities structure and the shocks to resources, and they can be useful to determine optimal intervention policies. The approach is illustrated to evaluate the consolidated foreign claims of 10 European Union countries.