Transmission of distress in a bank credit network
AbstractThe European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer simulation model to analyze the risk of insolvency of banks and defaults in a bank credit network. Simulation experiments reproduce the knock-on default, and quantify the impact which is imposed on the number of bank defaults by heterogeneity of the bank credit network, the equity capital ratio of banks, and the capital surcharge on big banks.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1204.5661.
Date of creation: Apr 2012
Date of revision: Nov 2012
Publication status: Published in presented at the 4th World Congress on Social Simulation, Taipei, September 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-02 (All new papers)
- NEP-BAN-2012-05-02 (Banking)
- NEP-CMP-2012-05-02 (Computational Economics)
- NEP-NET-2012-05-02 (Network Economics)
- NEP-RMG-2012-05-02 (Risk Management)
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