Browsing RSCAS Articles by Author "BABUS, Ana"
Title:Asset commonality, debt maturity and systemic risk Author(s):ALLEN, Franklin; BABUS, Ana; CARLETTI, ElenaDate:2012Citation:Journal of Financial Economics, 2012, Vol. 104, No. 3, pp. 519-534Type:ArticleAbstract:We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered ...