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来源类型Article
规范类型其他
DOI10.2139/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
URLhttp://pure.iiasa.ac.at/id/eprint/14089/
来源智库International Institute for Applied Systems Analysis (Austria)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/130686
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Leduc MV,Poledna S,Thurner S. Systemic Risk Management in Financial Networks with Credit Default Swaps.. 2016.
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