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Session Overview |
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S 9 Keynote: Finance, insurance and risk: Quantitative methods
Session Topics: 9. Finance, insurance and risk: Quantitative methods
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2:30 pm - 3:20 pm
Modelling contagious bank runs We develop a modelling framework for contagion in financial networks arising from bank runs. We discuss different strategies that institutions which experience a bank run might use to satisfy their liquidity needs and analyse and compare implications of these different strategies for systemic risk. We find that the magnitude of contagion is highly sensitive to the choice of the mitigating strategies used by the market participants. We provide an application of our framework to financial stress testing and an empirical case study. | ||
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