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Toward EffEctivE GovErnancE of Financial insTiTuTions

In what follows, we construct a simple nancial system involving entities with interlocking balance sheets and use these techniques to model the spread and probability of contagious default following an unexpected shock, analytically and numerically. Unlike the generic, undirected graph model of Watts (2002), our model provides an explicit characterisation of balance sheets, making clear the direction of claims and obligations linking nancial institutions. It also includes asset price interactions with balance sheets, allowing the effects of asset-side contagion to be clearly delineated. We illustrate the robust-yet-fragile tendency of nancial systems and analyse how contagion risk changes with capital buffers, the degree of connectivity, and the liquidity of the. | The views expressed in this report are those of the Working Group on Corporate Governance and do not necessarily represent the views of all individual members of the Group of Thirty. ISBN 1-56708-156-8 Copies of this paper are available for 49 from The Group of Thirty 1726 M Street N.W. Suite 200 Washington D.C. 20036 Tel. 202 331-2472 E-mail info@group30.org www.group30.org TOWARD EFFECTIVE GOVERNANCE of FINANCIAL INSTITUTIONS 30 Group of .