Network valuation in financial systems. (1st June 2020)
- Record Type:
- Journal Article
- Title:
- Network valuation in financial systems. (1st June 2020)
- Main Title:
- Network valuation in financial systems
- Authors:
- Barucca, Paolo
Bardoscia, Marco
Caccioli, Fabio
D'Errico, Marco
Visentin, Gabriele
Caldarelli, Guido
Battiston, Stefano - Abstract:
- Abstract: We introduce a general model for the balance‐sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the same time, it also provides a natural extension of classic structural credit risk models to the case of an interconnected system. We characterize the existence and uniqueness of a valuation that maximizes individual and total equity values for all banks. We apply our model to the assessment of systemic risk and in particular for the case of stress testing. Further, we provide a fixed‐point algorithm to carry out the network valuation and the conditions for its convergence.
- Is Part Of:
- Mathematical finance. Volume 30:Number 4(2020)
- Journal:
- Mathematical finance
- Issue:
- Volume 30:Number 4(2020)
- Issue Display:
- Volume 30, Issue 4 (2020)
- Year:
- 2020
- Volume:
- 30
- Issue:
- 4
- Issue Sort Value:
- 2020-0030-0004-0000
- Page Start:
- 1181
- Page End:
- 1204
- Publication Date:
- 2020-06-01
- Subjects:
- contagion -- credit risk -- financial networks -- mark‐to‐market losses -- systemic risk
Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/mafi.12272 ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 23185.xml