Transmission channels of systemic risk : a system wide perspective

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Abstract

This dissertation contributes to the understanding of some of the complex facets of systemic risk which have not been addressed so far. The dissertation consists of 4 analytical chapters. The first chapter highlights the role of the over-the-counter dealer banks in the transmission of contagion. The second chapter tests if the interconnectedness of insurers warrants their treatment as systemically important financial institutions; institutions whose failure pose a significant risk to the stability of the financial system and the real economy. The third chapter studies potential triggers for asset sales. It focuses on the question whether the existence of an alternative source of funding such as the liquidity-providing reverse transactions of the European System of Central Banks which became more easily accessible during the financial crisis prevented asset sales by banks. This study can be seen as an important step towards understanding the reasons for contagion through fire sales. The fourth chapter analyses the structure in the custodian-depository industry which may present a potential source of systemic risk.

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