Risk-taking in financial networks

• 成果类型: Article
• 署名作者: Belhaj, Mohamed; Bourles, Renaud; Deroian, Frederic
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Aix-Marseille Universite; Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2025.11.006
• 发表日期: 2026
• 关键词: value-at-risk; Systemic risk; contagion; management

摘要

We analyze risk-taking behaviors of financial institutions linked through cross-shareholding relationships. We endogenize risk exposure accounting for default risk by modeling Value-at-Risk-based risk-management-that is targeted default probabilities-in the presence of extreme risk on asset return. We relate risk-taking behaviors to a centrality measure that captures the propagation of losses within the network, and show that network integration increases risk-taking levels and expected return. However, we show that network integration also results in larger expected shortfall, indicating greater exposure to losses for creditors. We explore the impact of the cross-shareholding network on the implementation of regulation, particularly through capital requirements, and identify key institutions, those with the highest influence on aggregate investments in risky assets.