TY  - JOUR
U1  - Wissenschaftlicher Artikel
A1  - Weber, Stefan
A1  - Weske, Kerstin
T1  - The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
JF  - Probability, Uncertainty and Quantitative Risk
N2  - 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.
KW  - Systemic risk
KW  - Financial contagion
KW  - Financial network
KW  - Cross-holdings
KW  - Fire sales
KW  - Bankruptcy costs
Y1  - 2017
UN  - https://nbn-resolving.org/urn:nbn:de:bsz:960-opus4-30147
U6  - https://doi.org/10.25968/opus-3014
DO  - https://doi.org/10.25968/opus-3014
VL  - 2
SP  - 38
S1  - 38
ER  -