Publication detail

Systemic risk of the global banking system - an agent-based network model approach

Author(s): PhDr. Tomáš Klinger Ph.D.,
prof. PhDr. Petr Teplý Ph.D.,
Type: Articles in journals with impact factor
Year: 2014
Number: 0
ISSN / ISBN: 1210-0455
Published in: Prague Economic Papers, Czech Republic
Publishing place: Prague, Czech Republic
Keywords: agent-based modelling, banking regulation, Basel III, capital, interbank network, systemic risk
JEL codes: E61, G01, G21, G28
Suggested Citation: 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.
Grants: GACR 14-02108S The nexus between sovereign and bank crises GDN - The relationship between sovereign and bank crises (2014-2015) VŠE IP100040
Abstract: 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.
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