Grinis, Inna (2015) Credit risk spillovers, systemic importance and vulnerability in financial networks. Systemic Risk Centre Discussion Papers (27). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
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Abstract
How does the change in the creditworthiness of a financial institution or sovereign impact its creditors’ solvency? I address this question in the context of the recent European sovereign debt crisis. Considering the network of Eurozone member states, interlinked through investment cross-holdings, I model default as a multi-stage disease with each credit-rating corresponding to a new infection phase, then derive systemic importance and vulnerability indicators in the presence of financial contagion, triggered by the change in the creditworthiness of a network member. I further extend the model to analyse not only negative, but also positive credit risk spillovers.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://www.systemicrisk.ac.uk/ |
| Additional Information: | © 2015 The Author |
| Divisions: | Systemic Risk Centre |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | F - International Economics > F3 - International Finance > F34 - International Lending and Debt Problems G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Date Deposited: | 16 Feb 2015 13:02 |
| Last Modified: | 13 Sep 2024 20:30 |
| Projects: | ES/K002309/1 |
| Funders: | Economic and Social Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/60954 |
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