Transmission of distress in a bank credit network

Yoshiharu Maeno, Satoshi Morinaga, Hirokazu Matsushima and Kenichi Amagai

Papers from arXiv.org

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.

Date: 2012-04, Revised 2012-11
New Economics Papers: this item is included in nep-ban, nep-cmp, nep-net and nep-rmg
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Published in presented at the 4th World Congress on Social Simulation, Taipei, September 2012

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1204.5661

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