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A network approach to interbank contagion risk in South Africa

Author

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  • Pierre Nkou Mananga
  • Shiqiang Lin
  • Hairui Zhang

Abstract

We investigate the resilience of the South African banking system using a dynamic agent-based model and the DebtRank algorithm. This approach enables us to identify each banks importance and vulnerability in the interbank network and is not limited to listed banks, as previous studies were. We find that larger banks are more systemically important, but a banks interbank-lending-to-equity multiple is significantly correlated with its vulnerability. Our research offers policymakers a direct and practical indicator for improved monitoring of financial stability.

Suggested Citation

  • Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.
    • Handle: RePEc:rbz:wpaper:11052
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    References listed on IDEAS

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