Measurement and Internalization of Systemic Risk in a Global Banking Network

Xiaobing Feng and Haibo Hu

Papers from arXiv.org

Abstract: The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions using a SIR type of epidemic spreading model and the Shapley value in game theory. The paper also explores features of a constructed bank network using real globe-wide banking data.

Date: 2014-04
New Economics Papers: this item is included in nep-ban, nep-cba, nep-fmk, nep-net and nep-rmg
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Published in Int. J. Mod. Phys. C 24, 1250093 (2013)

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