Jump to ContentJump to Main Navigation
Systemic RiskThe Dynamics of Modern Financial Systems$
Users without a subscription are not able to see the full content.

Prasanna Gai

Print publication date: 2013

Print ISBN-13: 9780199544493

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199544493.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2020. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 03 December 2020

Financial System Resilience

Financial System Resilience

(p.101) 7 Financial System Resilience
Systemic Risk

Prasanna Gai

Oxford University Press

This chapter develops a statistical model for assessing financial system resilience that includes fire sale effects, network effects, and the feedback effects to/from the macroeconomy. An important innovation is that the model can be calibrated with partially available public data on banking sector exposures. The model presents stylized results largely based on data from the Bank for International Settlements in a set-up that is genuinely international—the financial network comprises domestic banks, foreign banks, and domestic firms. The aggregate system loss distributions that emerge are sensible, despite the crude calibration of the feedback effects from curtailed lending in the macroeconomy. The mode, thus, represents a first step in showing how an integrated model of systemic risk that takes complexity and realistic behavioural responses seriously can begin to be developed.

Keywords:   bank stress tests, maximum entropy methods, aggregate loss distribution, real-financial interlinkages, financial networks

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .