Information contagion and systemic risk / by Toni Ahnert and Co-Pierre Georg. : 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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.842784&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Information contagion and systemic risk / by Toni Ahnert and Co-Pierre Georg. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2017-29 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "July 2017." Includes bibliographical references. Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
| Auteur / Contributeur | Ahnert, Toni. Jiang, Janet Hua. |
| Description | ii, 30 p. |
| Numéro de catalogue |
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| Descripteurs | Financial institutions |
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