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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/61384399:31110/14:00043908

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

<a href="/cs/project/GA14-02108S" target="_blank" >GA14-02108S: Vzájemná interakce krizí státu a bank</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Prague Economic Papers

ISSN

1210-0455

e-ISSN

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Svazek periodika

23

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

24-41

Kód UT WoS článku

000334900500002

EID výsledku v databázi Scopus

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