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Information Contagion and Systemic Risk

Author

Listed:
  • Co-Pierre Georg
  • Toni Ahnert
Abstract
We examine the effect of ex-post information contagion on the ex-ante optimal portfolio choices of banks and the welfare losses due to joint default. Because of counterparty risk and common exposures, bad news about one bank reveals valuable information about another bank, thereby triggering information contagion. Systemic risk is defined as the ex-ante probability of […]

Suggested Citation

  • Co-Pierre Georg & Toni Ahnert, 2017. "Information Contagion and Systemic Risk," Working Papers 686, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:686
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    More about this item

    Keywords

    COVID-19; investment; public health; Risk and Uncertainty;
    All these keywords.

    JEL classification:

    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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