Blar i Arbeidsnotater / Working Papers på forfatter "Schaanning, Eric"
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Fire Sales, Indirect Contagion and Systemic Stress Testing
Cont, Rama; Schaanning, Eric (Working Papers;2/2017, Working paper, 2017)We present a framework for quantifying the impact of fi re sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may ... -
Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie (Working Papers;13/2017, Working paper, 2017)We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing ...