Measurement and Internalization of Systemic Risk in a Global Banking Network
AbstractThe negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions using a SIR type of epidemic spreading model and the Shapley value in game theory. The paper also explores features of a constructed bank network using real globe-wide banking data.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1404.5689.
Date of creation: Apr 2014
Date of revision:
Publication status: Published in Int. J. Mod. Phys. C 24, 1250093 (2013)
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-09 (All new papers)
- NEP-BAN-2014-05-09 (Banking)
- NEP-CBA-2014-05-09 (Central Banking)
- NEP-FMK-2014-05-09 (Financial Markets)
- NEP-NET-2014-05-09 (Network Economics)
- NEP-RMG-2014-05-09 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, September.
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