Assessing Contagion Risk in a Financial Network

Fernando Duarte, Collin Jones and Francisco Ruela

No 20190624, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Since the 2008 financial crisis, there has been an explosion of research trying to understand and quantify the default spillovers that can arise through counterparty risk. This first of two posts delves into the analysis of financial network contagion through this spillover channel. The authors introduce a framework, originally developed by Eisenberg and Noe, that is useful for thinking about default cascades.

Keywords: financial sector; counterparty risks; default; spillovers; Networks (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2019-06-24
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