00000nam 2200000za 4500 9.842784 CaOODSP 20221107152410 cr ||||||||||| 170831s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-29E-PDF Ahnert, Toni. Information contagion and systemic risk [electronic resource] / by Toni Ahnert and Co-Pierre Georg. [Ottawa] : Bank of Canada, 2017. ii, 30 p. Bank of Canada staff working paper, 1701-9397 ; 2017-29 "July 2017." Includes bibliographical references. "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. Includes abstract in French. gccst Financial institutions Jiang, Janet Hua. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-29 (CaOODSP)9.806221 PDF 815 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-29-eng.pdf