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Simulace "systémového" rizika v důsledku náhlých výprodejů aktiv: Aplikace na bankovní sektor Evropské unie

Simulation of Systemic Risk as a Consequence of Fire Sales: Application to EU Banking Sector

Štěpán Pekárek

Politická ekonomie, 2022, vol. 2022, issue 4, 440-476

Abstract: The paper integrates elements of microstructural network models of the banking sector developed by Cont and Shaanning (2017) and Duarte and Eisenbach (2018) to simulate endogenously the fire sales contagion channel of systemic risk. The scale of the effect is illustrated on the EBA supervisory stress test results for 2018, based on which the secondary impact of fire sales increases aggregate losses by 69%. The model is used to identify banks with the highest contribution to systemic risk. Alternative systemicity predicators are proposed based on the results. The second section discusses the ability of the model to incorporate behavioural and regulatory aspects associated with the systemic risk, with the main focus on the impact of (i) calibration of regulatory leverage ratio limits, (ii) leverage ratio targeting, (iii) decrease in market liquidity, and (iv) change in the shape of the market price impact function on the dynamics of systemic losses due to the fire sales contagion.

Keywords: Systemic risk; stress tests; fire sales; network model (search for similar items in EconPapers)
JEL-codes: G12 G19 G21 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.18267/j.polek.1361

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Handle: RePEc:prg:jnlpol:v:2022:y:2022:i:4:id:1361:p:440-476