Bilateral exposures and systemic solvency risk

C. Gouriéroux, J.‐C. Héam and Alain Monfort

Canadian Journal of Economics/Revue canadienne d'économique, 2012, vol. 45, issue 4, 1273-1309

Abstract: Abstract By introducing a structure of the balance sheets of the banks, which takes into account their bilateral exposures in terms of stocks or lendings, we get a structural model for default analysis. This model allows us to distinguish the exogenous and endogenous default dependence. We prove the existence and uniqueness of the liquidation equilibrium, we study the consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an application to the French banking system. En utilisant une structure des états financiers des banques qui tient compte de leurs expositions bilatérales en termes d’actions et de prêts, on développe un modèle structurel de faillite. Ce modèle permet de distinguer les facteurs exogènes et endogènes dont dépend la faillite. On prouve l’existence et l’unicité de l’équilibre de liquidation, on étudie les conséquences des chocs exogènes sur le système bancaire, et on mesure le phénomène de contagion. On illustre l’usage de cette approche en l’appliquant au système bancaire français.

Date: 2012
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Citations: View citations in EconPapers (22)

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https://doi.org/10.1111/j.1540-5982.2012.01750.x

Related works:
Journal Article: Bilateral exposures and systemic solvency risk (2012)
Working Paper: Bilateral Exposures and Systemic Solvency Risk (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:canjec:v:45:y:2012:i:4:p:1273-1309

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