Paper models complications to systemic financial shock responses
Network types and illiquid asset classes greatly complicate ‘fire sales’, researchers argue
Different classes of illiquid asset and different types of banking network complicate banks' responses to systemic financial shocks, a working paper published by the Bank of Italy argues.
In Contagion and fire sales in banking networks, Sara Cecchetti, Marco Rocco and Laura Sigalotti analyse the relationship between banking networks' structure and their resilience to shocks.
The authors build on a 2005 model of interbank contagion by Rodrigo Cifuentes, Gianluigi Ferrucci and Hyun Song Shin
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