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...

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Detalles Bibliográficos
Autores Principales: Castro, Carlos, Ordóñez Herrera, Juan Sebastián
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2012
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/11284