Risk-sharing and contagion network
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- dc.contributor.author Cabrales, Antonioca
- dc.contributor.author Gottardi, Pieroca
- dc.contributor.author Vega-Redondo, Fernandoca
- dc.date.accessioned 2016-09-26T10:17:27Z
- dc.date.available 2016-09-26T10:17:27Z
- dc.date.issued 2016
- dc.description.abstract We investigate the properties of financial networks that allow to optimally solve the trade-off between higher risk-sharing and contagion. With continuous shock distributions, the optimum features the segmentation of the system of firms into disjoint components, with uniform exposure within them. With positive mass on some large shocks, it is instead optimal to modulate the exposure level to different firms. When firms are heterogeneous in the risk characteristics of their shocks, optimality requires homogeneous components, while with heterogeneity in size, an irrelevance result holds. Also, the incentives of firms to establish linkages may not be aligned with social optimality.ca
- dc.description.sponsorship The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
- dc.format.mimetype application/pdfca
- dc.identifier.uri http://hdl.handle.net/10230/27313
- dc.language.iso engca
- dc.relation.ispartofseries ADEMU Working Paper Series;29
- dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/649396
- dc.rights This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.ca
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.rights.uri https://creativecommons.org/licenses/by/4.0/ca
- dc.subject.keyword Firm networks
- dc.subject.keyword Contagion
- dc.subject.keyword Risk sharing
- dc.title Risk-sharing and contagion networkca
- dc.type info:eu-repo/semantics/workingPaperca