@article{WeberWeske2017,
  author    = {Weber, Stefan and Weske, Kerstin},
  title     = {The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks},
  journal   = {Probability, Uncertainty and Quantitative Risk},
  volume    = {2},
  doi       = {10.25968/opus-3014},
  institution = {Fakult{\"a}t IV - Wirtschaft und Informatik},
  pages     = {9},
  year      = {2017},
  abstract  = {The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements.},
  language  = {en}
}