• Medientyp: E-Book; Bericht
  • Titel: Multi-layered interbank model for assessing systemic risk
  • Beteiligte: Montagna, Mattia [VerfasserIn]; Kok, Christoffer [VerfasserIn]
  • Erschienen: Kiel: Kiel Institute for the World Economy (IfW), 2013
  • Sprache: Englisch
  • Schlagwörter: interbank market ; C63 ; D85 ; G21 ; financial contagion ; network theory ; C45
  • Entstehung:
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  • Beschreibung: In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are non-negligible non-linearities in the propagation of shocks to individual banks when taking into account that banks are related to each other in various market segments. In a nutshell, the contagion effects when considering the shock propagation simultaneously across multiple layers of interbank networks can be substantially larger than the sum of the contagion-induced losses when considering the network layers individually. In addition, a bank 'systemic importance' measure based on the multi-layered network model is developed and is shown to outperform standard network centrality indicators.
  • Zugangsstatus: Freier Zugang