Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F15%3A10283477" target="_blank" >RIV/00216208:11230/15:10283477 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.ecosys.2014.07.001" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2014.07.001</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ecosys.2014.07.001" target="_blank" >10.1016/j.ecosys.2014.07.001</a>
Alternative languages
Result language
angličtina
Original language name
Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
Original language description
This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures of domestic banks, enriched by a liquidity channel and an asset price channel, over the period March 2007 to June 2012. A computationalmodel is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the size and structure of interbank exposures as well as balance sheet and regulatory characteristics of individual banks in the network. Thesimulation results suggest that the potential for contagion due to credit losses on interbank exposures was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was below 3.8% of the remaining banking sector assets, with the exception of the period from December 2007 to September 2008. Activation of the asset price channel further increases the losses due to interbank contagion, showing that the liquidity of government bonds wou
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economic Systems
ISSN
0939-3625
e-ISSN
—
Volume of the periodical
39
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
25
Pages from-to
156-180
UT code for WoS article
000353601800010
EID of the result in the Scopus database
2-s2.0-84925950312