Information contagion and systemic risk / by Toni Ahnert and Co-Pierre Georg.: FB3-5/2017-29E-PDF
"We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Because of counterparty risk or common exposures, bad news about one bank reveals valuable information about another bank, triggering information contagion. When banks are subject to common exposures, information contagion induces small adjustments to bank portfolios and therefore increases overall systemic risk. When banks are subject to counterparty risk, by contrast, information contagion induces a large shift toward more prudential portfolios, thereby reducing systemic risk."--Abstract, p. ii.
Permanent link to this Catalogue record:
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Information contagion and systemic risk / by Toni Ahnert and Co-Pierre Georg. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-29 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "July 2017." Includes bibliographical references. Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Ahnert, Toni. Jiang, Janet Hua. |
| Description | ii, 30 p. |
| Catalogue number |
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| Subject terms | Financial institutions |