Contingent Claims Analysis And The Inter-Sector Transmission Of Credit Risk

Miroslav Plašil and Ivana Kubicová

Chapter Thematic Article 4 in CNB Financial Stability Report 2011/2012, 2012, pp 129-139 from Czech National Bank, Research and Statistics Department

Abstract: The purpose of this article is to contribute to the modelling of the cross-sectional dimension of systemic risk. First, the network of financial linkages in the Czech economy is mapped and then a model of inter-sector transmission of financial contagion is presented. The model is used to quantify the results of two different risk scenarios. It is demonstrated that mutual exposures can amplify the consequences of negative shocks at times of increased financial stress. The magnitude of those consequences depends on which sector is primarily hit by the shock.

Date: 2012
ISBN: 978-80-87225-37-0
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:ocpubc:fsr1112/4

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