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Information contagion and systemic risk

Author: Toni Ahnert; Co-Pierre Georg; Bank of Canada,
Publisher: Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2017. Ã2017 ©2017
Series: Staff working paper (Bank of Canada), 2017-29.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
"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  Read more...
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Details

Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Toni Ahnert; Co-Pierre Georg; Bank of Canada,
OCLC Number: 1005204842
Language Note: Includes abstracts in English and French.
Notes: Distributed by the Government of Canada Publishing and Depository Services Program (Weekly acquisitions list 2017-35).
"July 2017."
Description: 1 online resource (ii, 30 pages).
Series Title: Staff working paper (Bank of Canada), 2017-29.
Responsibility: by Toni Ahnert and Co-Pierre Georg.

Abstract:

"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.

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