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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
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Handle: RePEc:rbz:wpaper:11052