Bluhm, Marcel; Krahnen, Jan Pieter - In: Journal of Financial Stability 13 (2014) C, pp. 75-94
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model … incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings … (SVaR). Under the SVaR metric, the contribution of individual banks to systemic risk is well defined and can be approximated …