Cookies?
Library Header Image
LSE Research Online LSE Library Services

Credit risk spillovers, systemic importance and vulnerability in financial networks

Grinis, Inna (2015) Credit risk spillovers, systemic importance and vulnerability in financial networks. SRC Discussion Paper (No 27). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

[img]
Preview
PDF - Published Version
Download (1MB) | Preview

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)
Official URL: http://www.systemicrisk.ac.uk/
Additional Information: © 2015 Systemic Risk Centre, The London School of Economics and Political Science
Divisions: Systemic Risk Centre
Subjects: H Social Sciences > HG Finance
JEL classification: R - Urban, Rural, and Regional Economics > R2 - Household Analysis > R21 - Housing Demand
Sets: Research centres and groups > Systemic Risk Centre
Date Deposited: 16 Feb 2015 13:02
Last Modified: 09 Jun 2019 23:24
Projects: ES/K002309/1
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/60954

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics