Working Papers

Working Paper 156
Financial Networks, Cross Holdings, and Limited Liability

Helmut Elsinger

May 29, 2009

 

The opinions are strictly those of the authors and in no way commit the OeNB.


Editorial

The author discusses a network of banks which are linked with each other by financial obligations and cross holdings. Given an initial endowment the value of the obligations and the equity values of the banks are determined endogenously in a way consistent with the priority of debt and the limited liability of equity. Even though neither equity values nor debt values are necessarily unique the value of debt and equity holdings of outside investors is uniquely determined. An algorithm to calculate debt and equity values is developed.



Download

Overview

More about this page

Ordering this Publication