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A Network model of systemic risk: identifying the sources of dependence across institutions

Carlos Castro Iragorri () and Juan Sebastian Ordonez ()

Documentos de Trabajo from Universidad del Rosario

Abstract: Abstract: We design a financial network model that explicitly incorporates linkages across institutions through a direct contagion channel, as well as an indirect common exposure channel. In particular, common exposure is setup so as to link the fi nancial to the real sector. The model is calibrated to balance sheet data on the colombian fi nancial sector. Results indicate that commercial banks are the most systemically important financial institutions in the system. Whereas government owned institutions are the most vulnerable institutions in the system.

Keywords: systemic risk; network models; contagion; common exposure (search for similar items in EconPapers)
JEL-codes: C21 C58 G32 (search for similar items in EconPapers)
Pages: 26
Date: 2012-06-12
New Economics Papers: this item is included in nep-ban, nep-cba and nep-net
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