Browsing LIF-SAFE Working Papers by JEL Classification "D85"

Now showing items 1-7 of 7

    • Bank Networks: Contagion, Systemic Risk and Prudential Policy 

      Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester (2015-07-01)
      We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the ...

    • Endogenous Banks’ Networks, Cascades and Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-06-01)
      We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...

    • Equilibrium Asset Pricing in Directed Networks 

      Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (2018-10-16)
      Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...

    • Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk 

      Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter (2014-03-26)
      This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ...

    • Multiplex interbank networks and systemic importance: An application to European data 

      Aldasoro, Iñaki; Alves, Iván (2015-05-01)
      Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures ...

    • Professional Networks and their Coevolution with Executive Careers: Evidence from Europe and North America 

      Berardi, Nicoletta; Lalanne, Marie; Seabright, Paul (2019-02-04)
      This paper examines how networks of professional contacts contribute to the development of the careers of executives of North American and European companies. We build a dynamic model of career progression in which career ...

    • Too Interconnected to Fail: A Survey of the Interbank Networks Literature 

      Hüser, Anne-Caroline (2015-10-01)
      The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on ...