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• W3124193643 abstract "This paper develops a network model of a stylized banking system in which banks are connected to one another through interbank claims, which allows us to study the diffusion of default avalanches triggered by an exogenous shock under a number of different assumptions on the degree of interconnectedness, level of capitalization, liquidity buffers, the size of the interbank market and fire-sales. We expand upon the existing literature by embedding two alternative resolution mechanisms. First, liquidations triggered by either illiquidity or insolvency-related distress implying asset sales and compensation of creditors. Second, a bail-in mechanism avoiding bank closure by forcing a recapitalization provided by bank creditors. Our model speaks to how contagion dynamics unravel via illiquidity-driven defaults in the first case and higher-order losses in the latter one. Within this framework, we show how counter-party liquidity risk externality can be resolved and put forward a macro-criterion to assess the adequacy of the liquidity ratio introduced with Basel III." @default.
• W3124193643 created "2021-02-01" @default.
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• W3124193643 date "2013-01-01" @default.
• W3124193643 modified "2023-09-27" @default.
• W3124193643 title "Interbank contagion and resolution procedures: inspecting the mechanism" @default.
• W3124193643 hasPublicationYear "2013" @default.
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