Bilateral Exposures and Systemic Solvency Risk

Christian Gourieroux, Jean-Cyprien Héam and Alain Monfort

Working papers from Banque de France

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 distinguishing 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.

Keywords: Contagion; Systemic Risk; Solvency; Clearing; Liquidation Equilibrium; Impulse Response; Value-of-the Firm Model. (search for similar items in EconPapers)
JEL-codes: G18 G21 G28 G33 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2012
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-rmg
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Citations: View citations in EconPapers (49)

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Related works:
Journal Article: Bilateral exposures and systemic solvency risk (2012)
Journal Article: Bilateral exposures and systemic solvency risk (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:414

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