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2018
- ISIDORE Id: 10670/1.62e911...
- halshs: halshs-01630616
- doi: 10.1287/mnsc.2016.2592
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1287/mnsc.2016.2592
info:eu-repo/semantics/OpenAccess
Mots-clés
contagion of default financial linkages intervention policy G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G28 - Government Policy and RegulationSujets proches
Financial intermediaries Lending institutions Funds Funding Finance, commerce, confiscations, etcCiter ce document
Gabrielle Demange, « Contagion in Financial Networks: A Threat Index », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1287/mnsc.2016.2592
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Résumé
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.
