Systemic risk more than size and default probability

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Getting better information about exposures between financial institutions is crucial for macrorpudential supervision, new research from the Bank of Canada posits.

The analysis shows that ignoring information on derivatives and cross shareholdings gives a different picture of individual bank risk with potential important implications for systemic risk. The research develops a model which explicitly considers contagion effects through network and asset fire sale externalities and sheds light on

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