Detail publikace

Agent-based modeling of systemic risk in the European banking sector

Autor: PhDr. Tomáš Klinger Ph.D.,
prof. PhDr. Petr Teplý Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2019
Číslo: 0
ISSN / ISBN: ISSN: 1860-7128 (electronic version)
Publikováno v: Journal of Economic Interaction and Coordination, Springer, Germany
Místo vydání: Germany
Klíčová slova: agent-based models, bank, contagion, network models, systemic risk
JEL kódy: C63, D85, G01, G21, G28
Citace: Teplý, P., Klinger, T. (2019). Agent-based modeling of systemic risk in the European banking sector, Journal of Economic Interaction and Coordination. Vol. 14, No 4, pp. 811–833 (
Granty: GAČR 17-02509S - Nová finanční rizika v globálním prostředí nízkých úrokových sazeb VŠE IP100040
Abstrakt: In this paper, we use an agent-based simulation combined with innovative calibration techniques to model the European banking system as accurately as possible. Our novel contribution to the recent literature involves adding bank heterogeneity to the model. To estimate the levels of shock propagation in large-scale events, such as the default of multiple banks, as well as smaller events, such as the defaults of an individual bank, we provide granular modeling of bank behavior. We extend the existing network approach by adding the ability to model banks of various sizes and the detailed connections of 286 individual banks across 9 European countries. Our main results show how the failure of a large Italian bank or of a medium-sized German bank might create a cascade of problems for the entire European banking sector. Our results reveal that Italian banks make a much larger contribution to systemic risk than German or French banks. We believe that computational experiments in this model provide valuable insights into systemic risk within the European banking system for policy makers when estimating the systemic effects of individual bank defaults. From a regulatory perspective, we recommend the introduction of a tighter limit for all types of inter-bank exposures than the recent limit of 25% of Tier 1 capital. Moreover, we propose an increase in the risk-weights for exposures to large banks in Germany, France, Italy, and Spain.
Červen 2023


Česká Spořitelna


Patria Finance