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Analysis of contagion in Mexican financial system combining Merton and random networks models

Listed author(s):
  • Guillermo Sierra Juárez

    ()

    (Universidad de Guadalajara, México)

The control of systematic risk and the contagion effect are very important on the regulation and Basilea context. This paper presents a two phase model (Merton Model on the first part and Random networks Erdös-Rényi in the second part) in order to analyze the contagion effect on the Mexican bank system. The conclusions are that the Banks could not be infected or fall into default depending of the behavior of liabilities, the structure of the network and (external asset/interbank asset) ratio and (capital/asset) ratio. The results are consistent with the regulation politics in order to avoid the contagion in Mexico Financial System.

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File URL: http://www.cya.unam.mx/index.php/cya/article/view/836
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Article provided by Accounting and Management in its journal Contaduría y Administración.

Volume (Year): 62 (2017)
Issue (Month): 1 (Enero-Marzo)
Pages: 44-63

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Handle: RePEc:nax:conyad:v:62:y:2017:i:1:p:44-63
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  1. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  2. Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2014(1), pages 24-41.
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