Systemic risk in the netting system

被引:79
作者
Angelini, P
Maresca, G
Russo, D
机构
[1] BANCA ITALIA,BANK LENDING & CLEARING DEPT,I-00184 ROME,ITALY
[2] EUROPEAN MONETARY INST,D-60311 FRANKFURT,GERMANY
关键词
payment system; systemic risk; settlement; central bank;
D O I
10.1016/0378-4266(95)00029-1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In interbank clearing networks, a bank experiencing sudden liquidity or solvency problems may prevent settlement of the claims of its direct creditors, which may in turn jeopardize settlement of other institutions. The paper presents an empirical assessment of the potential size of this 'domino effect' in the Italian netting system, A participant's settlement failure is simulated and the impact on the rest of the system measured. On average, only about 4 percent of participants were large enough to trigger systemic crises; less than 1 percent defaulted due to systemic reasons; the average monetary loss was less than 3 percent of the daily flow of funds through the clearing system, Similar simulations by other authors for the U.S. system yielded a much larger impact of systemic risk. We argue that the difference is mainly due to the much smaller volume of funds flowing through the Italian system and to structural differences.
引用
收藏
页码:853 / 868
页数:16
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