Transmission of distress in a bank credit network (Maeno Y., Morinaga S., Matsushima H., Amagai K.)

Bank Lending Stability&Soundness

Abstract The 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.
External link Download
Libref/ Maeno Y., Morinaga S., Matsushima H., Amagai K. (2012) “Transmission of distress in a bank credit network”, Cornell University Working Paper.
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.