Service disruption

Due to maintenance, the Publications.gc.ca website may operate intermittently between 5:00 am ET until 9:00 am ET on Sunday, October 22, 2017.

Information contagion and systemic risk: FB3-5/2017-29E-PDF

"We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable information about another bank, triggering information contagion. When banks are subject to common exposures, information contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to counterparty risk, by contrast, information contagion induces a large shift toward more prudential portfolios, thereby reducing systemic risk."--Abstract, p. ii.

Permanent link to this Catalogue Record: What is a permanent link?
http://publications.gc.ca/pub?id=9.842784&sl=0
MARC XML Format   MARC HTML Format

Department/Agency Bank of Canada.
Title Information contagion and systemic risk
Series Title Bank of Canada staff working paper,
Publication Type Series - View Master Record
Language [English]
Format Electronic
Electronic Document

Archived Content

Information identified as archived is provided for reference, research or recordkeeping purposes. It is not subject to the Government of Canada Web Standards and has not been altered or updated since it was archived. Please contact the authoring department to request a format other than those available.

We invite you to consult the Frequently Asked Questions page for additional information regarding the Archived Content notice.


Having trouble opening this document?

Note: The URLs contained in this/these document(s) may no longer be functional
Note "July 2017."
Date 2017.
Number of Pages ii, 30 p.
Catalogue Number
  • FB3-5/2017-29E-PDF
Subject Terms Financial institutions