Multi-layered interbank model for assessing systemic risk

Christoffer Kok and Mattia Montagna

No 1944, Working Paper Series from European Central Bank

Abstract: 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 material 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. 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 JEL Classification: C45, C63, D85, G21

Keywords: Financial contagion; interbank market; network theory (search for similar items in EconPapers)
Date: 2016-08
New Economics Papers: this item is included in nep-ban, nep-cmp, nep-net and nep-rmg
Note: 508948
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161944

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