Discussion Paper
Assessing Contagion Risk in a Financial Network
Abstract: Since the 2008 financial crisis, there has been an explosion of research trying to understand and quantify the default spillovers that can arise through counterparty risk. This first of two posts delves into the analysis of financial network contagion through this spillover channel. The authors introduce a framework, originally developed by Eisenberg and Noe, that is useful for thinking about default cascades.
Keywords: financial sector; counterparty risks; default; spillovers; Networks;
JEL Classification: G2;
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Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2019-06-24
Number: 20190624