| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.21314/JNTF.2017.034 |
| Systemic risk management in financial networks with credit default swaps. | |
| Leduc MV; Poledna S; Thurner S | |
| 发表日期 | 2017 |
| 出处 | The Journal of Network Theory in Finance 3 (3): 19-39 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 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 network 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 information about the topology of the interbank network. 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 agent-based model (CRISIS macro-financial model) and demonstrate that it leads to an interbank system that is more resilient to insolvency cascades. |
| 主题 | Advanced Systems Analysis (ASA) ; Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV) |
| URL | http://pure.iiasa.ac.at/id/eprint/15026/ |
| 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/131164 |
| 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.. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
