Financial stability through self-quarantine vs. system regulation in the interbank market

Nicolas Scholtes, Morgan Edwards, Jennifer Hellmann, Ellsworth Campbell, Lin Li

Résultats de recherche: Contribution dans un livre/un catalogue/un rapport/dans les actes d'une conférenceArticle dans les actes d'une conférence/un colloque

Résumé

The paper develops a dynamic network model of the interbank market focussing on
containment strategies for an initial shock engendering a cascading string of failures.
To do this, we begin with a system regulator possessing a fixed bank recapitalization
budget and information set vis-à-vis the network. We also consider self-quarantining
behaviour whereby individual banks respond to spreading failures by unilaterally cut-
ting ties to neighbors. Our results show that imperfect information affects the ability
of the regulator to contain larger shocks in the absence of self-quarantining behaviour. By contrast, self-quarantine and imperfect information appeared to complement one another, resulting in near-perfect system preservation.
langue originaleAnglais
titreFinancial stability through self-quarantine vs. system regulation in the interbank market
Nombre de pages15
Etat de la publicationEn préparation - 2014

    Empreinte digitale

Contient cette citation

Scholtes, N., Edwards, M., Hellmann, J., Campbell, E., & Li, L. (2014). Financial stability through self-quarantine vs. system regulation in the interbank market. Manuscrit en préparation. Dans Financial stability through self-quarantine vs. system regulation in the interbank market http://santafe.edu/education/schools/complex-systems-summer-schools/csss-2014-proceedings/