A network approach to interbank contagion risk in South Africa
Pierre Nkou Mananga,
Shiqiang Lin and
Hairui Zhang
No 11052, Working Papers from South African Reserve Bank
Abstract:
We investigate the resilience of the South African banking system using a dynamic agent-based model and the DebtRank algorithm. This approach enables us to identify each banks importance and vulnerability in the interbank network and is not limited to listed banks, as previous studies were. We find that larger banks are more systemically important, but a banks interbank-lending-to-equity multiple is significantly correlated with its vulnerability. Our research offers policymakers a direct and practical indicator for improved monitoring of financial stability.
Date: 2023-09-06
New Economics Papers: this item is included in nep-ban, nep-fdg, nep-hme and nep-net
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.resbank.co.za/content/dam/sarb/publica ... s/2023/WP%202309.pdf Revision (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:rbz:wpaper:11052
Access Statistics for this paper
More papers in Working Papers from South African Reserve Bank Contact information at EDIRC.
Bibliographic data for series maintained by Jessica VanWyk ().