Systemic risk of the global banking system - an agent-based network model approach
| Autor: | PhDr. Tomáš Klinger Ph.D., prof. PhDr. Petr Teplý Ph.D., |
|---|---|
| Typ: | Články v impaktovaných časopisech |
| Rok: | 2014 |
| Číslo: | 0 |
| ISSN / ISBN: | 1210-0455 |
| Publikováno v: | Prague Economic Papers, Czech Republic |
| Místo vydání: | Prague, Czech Republic |
| Klíčová slova: | agent-based modelling, banking regulation, Basel III, capital, interbank network, systemic risk |
| JEL kódy: | E61, G01, G21, G28 |
| Citace: | Klinger, T., Teplý, P. (2014), “Systemic risk of the global banking system - an agent-based network model approach.“ Prague Economic Papers, Vol. 23, No. 1, pp. 24–41. |
| Granty: | GAČR 14-02108S Vzájemná interakce krizí státu a bank GDN - Vztah mezi krizemi států a bank (2014-2015) VŠE IP100040 |
| Abstrakt: | The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 fi nancial 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 confi rm that suffi cient 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 the complete range of systemic risk and make it difficult to devise effective and targeted regulatory measures at this time. |
| Ke stažení: |
PDF |
