A Network model of systemic risk : identifying the sources of dependence across institutions
We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the financial to the real sector. The model is calibrated to balance...
Autores Principales: | , |
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Formato: | Documento de trabajo (Working Paper) |
Lenguaje: | Español (Spanish) |
Publicado: |
Universidad del Rosario
2012
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Materias: | |
Acceso en línea: | http://repository.urosario.edu.co/handle/10336/11284 |