In this research we focus on the financial sector, specifically interbank loan networks. First we simulate the interbank loan network through a simulation of a ...
Jan 4, 2017 · In this paper we take a look at simulation based modelling to stress test the stability of inter-bank loan networks of different structures. We ...
From this point of view, as long as the adverse shocks affecting banks are sufficiently weak, a more interconnected network is more stable, ...
One of the key findings is that higher inter-tier connectivity is good for the stability of big banks but not so much for banks of smaller size.
Abstract. We propose a simple model of the banking system and analyze stochastic stability of inter-bank lending. The monetary reserves of banks are modeled ...
Missing: Loan | Show results with:Loan
Oct 22, 2024 · Our simulation shows that the failures of three special banks (i.e., Agricultural Bank of China and Bank of China and Industrial and Commercial ...
We present an agent-based model to endogenously reconstruct interbank networks based on 6600 banks' decision rules and behaviors reflected in quarterly balance ...
However, our analysis shows that the multiplier effect of monitoring is necessary to generate a bilateral stability and impact of relationship lending on ...
Feb 18, 2016 · There are three primary approaches of measuring systemic risk: simulation method, network analysis, and matrix method. The first common method ...
Using a structural model, we estimate the liquidity multiplier of an interbank network and banks' contributions to systemic risk.