Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F14%3A10271851" target="_blank" >RIV/00216208:11230/14:10271851 - isvavai.cz</a>

Alternative codes found

RIV/61384399:31110/14:00043908

Result on the web

<a href="http://www.vse.cz/pep/471" target="_blank" >http://www.vse.cz/pep/471</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach

Original language description

The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 financial crisis. In this paper, we construct an agent-based network model of systemic risk to a banking system, and use it for stress-testing of several different regulatory measures. First, our simulations confirm that sufficient capital buffers in individual banks are crucial for protecting the stability of the whole system. Second, we show that the regulatory measures installed as preventive measures to ensure that the banks possess sufficient capital buffers have almost no positive effects on stability when the system is collapsing. Finally, we highlight various data deficiencies which prevent the researchers and regulators from fully understanding thecomplete range of systemic risk and make it difficult to devise effective and targeted regulatory measures at this time.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

<a href="/en/project/GA14-02108S" target="_blank" >GA14-02108S: The nexus between sovereign and bank crises</a><br>

Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Volume of the periodical

23

Issue of the periodical within the volume

1

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

18

Pages from-to

24-41

UT code for WoS article

000334900500002

EID of the result in the Scopus database

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