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3. Contagion sur des réseaux

Architecture des réseaux interbancaires et gestion du risque de liquidité

Sébastien Vivier-Lirimont
p. 225-244

Abstracts

In a standard stylised frame derived from Diamond Dybvig, banks operate within a network of debt contracts where liquidity shock distribution is unknown. Working in network enables banks to reduce the amount of liquid reserves and to decentralize a Pareto Optimal allocation while it is impossible if they stay isolated. However, this outcome depends on the architecture of the network, on the network participant number and on the cost structure. In a no cost framework, to decentralize first best outcome, networks have to exhibit one of two strong characteristics. It has either to have a « Small World property » which implies that banks must be bound together at very a short network distance, or, to have a strict regular topology. In a frame with positive cost, a single architecture both minimizes aggregate costs and decentralizes first best outcome. However, this topology, exhibiting unbalanced cost sharing among players, is not pairwise stable.

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References

Bibliographical reference

Sébastien Vivier-Lirimont, “Architecture des réseaux interbancaires et gestion du risque de liquidité”Revue d'économie industrielle, 114-115 | 2006, 225-244.

Electronic reference

Sébastien Vivier-Lirimont, “Architecture des réseaux interbancaires et gestion du risque de liquidité”Revue d'économie industrielle [Online], 114-115 | 2e-3e trimestre 2006, Online since 03 December 2007, connection on 18 April 2024. URL: http://journals.openedition.org/rei/417; DOI: https://doi.org/10.4000/rei.417

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About the author

Sébastien Vivier-Lirimont

Docteur en Sciences économiques, ancien élève de l'École normale supérieure de Cachan. Il est actuellement professeur de Finance à l’École supérieure de Commerce de Reims. Reims Management School et EUREQua, université Paris I Panthéon Sorbonne. Sa recherche est principalement axée sur la finance.

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Copyright

CC-BY-NC-ND-4.0

The text only may be used under licence CC BY-NC-ND 4.0. All other elements (illustrations, imported files) are “All rights reserved”, unless otherwise stated.

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