首页    期刊浏览 2024年11月29日 星期五
登录注册

文章基本信息

  • 标题:Towards a Framework for Quantifying Systemic Stability
  • 本地全文:下载
  • 作者:Piergiorgio Alessandri ; Prasanna Gai ; Sujit Kapadia
  • 期刊名称:International Journal of Central Banking
  • 印刷版ISSN:1815-4654
  • 出版年度:2009
  • 卷号:2009
  • 期号:3
  • 出版社:IJCB Publications Fulfillment
  • 摘要:

    This paper describes a prototype quantitative framework for gauging systemic risk which explicitly characterizes banks’ balance sheets and allows for macro credit risk, interest income risk, market risk, network interactions, and asset-side feedback effects. In presenting our results, we focus on projections for systemwide banking assets in the United Kingdom, considering both unconditional distributions and stress scenarios.We show how a combination of extreme credit and trading losses can precipitate fundamental defaults and trigger contagious default associated with network effects and fire sales of distressed assets. Despite the joint normality of all risk factors, the model generates a bimodal asset distribution.

国家哲学社会科学文献中心版权所有