| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.2139/ssrn.2713200 |
| Systemic Risk Management in Financial Networks with Credit Default Swaps. | |
| Leduc MV; Poledna S; Thurner S | |
| 发表日期 | 2016 |
| 出处 | SSRN Electronic Journal : 1-20 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) 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 network of interbank exposures in a way that makes it more resilient to insolvency cascades. A regulator can use information about the topology of the interbank network to devise a systemic insurance surcharge that is added to the CDS spread. CDS contracts are thus effectively penalized according to how much they contribute to increasing systemic risk. CDS contracts that decrease systemic risk remain untaxed. We simulate this regulated CDS market using an agent-based model (CRISIS macro-financial model) and we demonstrate that it leads to an interbank system that is more resilient to insolvency cascades. |
| 主题 | Advanced Systems Analysis (ASA) |
| 关键词 | Systemic Risk, Credit Default Swaps, DebtRank, Agent-Based Models, Multiplex Networks, Interbank Systems |
| URL | http://pure.iiasa.ac.at/id/eprint/14089/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130686 |
| 推荐引用方式 GB/T 7714 | Leduc MV,Poledna S,Thurner S. Systemic Risk Management in Financial Networks with Credit Default Swaps.. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Systemic%20Risk%20Ma（2024KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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