Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach

Popis výsledku anglicky

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

Druh

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

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

—

Svazek periodika

39

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

25

Strana od-do

156-180

Kód UT WoS článku

000353601800010

EID výsledku v databázi Scopus

2-s2.0-84925950312