Comment on 'Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks'

Haubrich, Joseph G., and Andrew W. Lo (Eds.) Quantifying Systemic Risk. University of Chicago Press, 2013

Posted: 4 Apr 2013

See all articles by Mikhail V. Oet

Mikhail V. Oet

Case Western Reserve University - Weatherhead School of Management; Federal Reserve Banks - Federal Reserve Bank of Cleveland

Date Written: November 6, 2009

Abstract

The paper describes a liquidity feedback model (LFM) within a quantitative framework of systemic risk. LFM simulates balance sheets and funding interactions of a population of banks within a financial system to assess shock-induced feedback effects on the individual banks and the represented financial system. The model represents the systemic interactions through five contagion channels and analyzes collapse mechanics in a financial system due to propagation of liquidity risk through bank balance sheets. LFM offers a well thought out analysis of the mechanics of cash flow constraints and liquidity effects and institutional actions and reactions through a set of network relationships.

Suggested Citation

Oet, Mikhail V., Comment on 'Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks' (November 6, 2009). Haubrich, Joseph G., and Andrew W. Lo (Eds.) Quantifying Systemic Risk. University of Chicago Press, 2013, Available at SSRN: https://ssrn.com/abstract=2244574

Mikhail V. Oet (Contact Author)

Case Western Reserve University - Weatherhead School of Management ( email )

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