Titre :

Strategic fire-sales and price-mediated contagion in the banking system

Auteur(s) :

Braouezec, Yann [Auteur]
Lille économie management - UMR 9221 [LEM]
Wagalath, Lakshithe [Auteur]
Lille économie management - UMR 9221 [LEM]

Titre de la revue :

European Journal of Operational Research

Pagination :

1180-1197

Éditeur :

Elsevier

Date de publication :

2019-05

ISSN :

0377-2217

Mot(s)-clé(s) en anglais :

Finance Price-mediated contagion Nash equilibrium with strategic Complementarities CCAR 2015 Macro-prudential stress-tests

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [en]

We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price ...
Lire la suite >We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price impact. We characterize the equilibrium of the strategic deleveraging problem and we calibrate our model to publicly-available data, the US banks that were part of the 2015 regulatory stress-tests. We then consider a more sophisticated model in which each bank is exposed to two risky assets (marketable and not marketable) and is only able to sell the marketable asset. We calibrate our model using the six banks with significant trading operations and we show that, depending on the price impact, the contagion of failures may be significant. Our results may be used to refine current stress testing frameworks by incorporating potential contagion mechanisms between banks.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL