Optimal equity infusions in interbank networks

Abstract : We study optimal equity infusions into a financial network prone to the risk of contagious failures, which may be due to insolvency or to bank runs by short term creditors. Bank runs can be triggered by failures of connected banks. Under complete information on interbank linkages, we show that the problem reduces to a combinatorial optimization problem. Subject to budget constraints, the government chooses the set of minimal cost whose survival induces the maximum network stability. Our results demonstrate that the optimal equity infusion might significantly mitigate failure contagion risk and stabilize the system. In the case of partial information on the network, the controllers' focus swiftly changes from preventing insolvencies to preventing runs by short term creditors.
Type de document :
Article dans une revue
Journal of Financial Stability, Elsevier, 2017, 31, pp.1 - 17. 〈10.1016/j.jfs.2017.05.008〉
Liste complète des métadonnées

Littérature citée [41 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/hal-01614759
Contributeur : Martine Verneuille <>
Soumis le : lundi 23 octobre 2017 - 16:04:26
Dernière modification le : jeudi 26 avril 2018 - 10:28:16
Document(s) archivé(s) le : mercredi 24 janvier 2018 - 14:48:29

Fichier

ControlEpidemicsR2 15.52.53.pd...
Fichiers produits par l'(les) auteur(s)

Identifiants

Collections

Citation

Hamed Amini, Andreea Minca, Agnès Sulem. Optimal equity infusions in interbank networks. Journal of Financial Stability, Elsevier, 2017, 31, pp.1 - 17. 〈10.1016/j.jfs.2017.05.008〉. 〈hal-01614759〉

Partager

Métriques

Consultations de la notice

183

Téléchargements de fichiers

26