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Simulating fire-sales in a banking and shadow banking system

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017

We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...

Persistent link: https://www.econbiz.de/10011976961

Robust-less-fragile : tackling systemic risk and financial contagion in a macro agent-based model

Pallante, Gianluca; Guerini, Mattia; Napoletano, Mauro; … - 2024

We extend the Schumpeter meeting Keynes (K+S; see Dosi et al., 2010, 2013, 2015) to model the emergence and the dynamics of an interbank network in the money market. The extended model allows banks to directly exchange funds, while evaluating their interbank positions using a network- based...

Persistent link: https://www.econbiz.de/10014500985

Systemically important banks : emerging risk and policy responses : an agent-based investigation

Popoyan, Lilit; Napoletano, Mauro; Roventini, Andrea - 2023

We develop a macroeconomic agent-based model to study the role of systemically important banks (SIBs) in financial stability and the effectiveness of capital surcharges on SIBs as a risk management tool. The model is populated by heterogeneous firms, consumers, and banks interacting locally in...

Persistent link: https://www.econbiz.de/10014332099

Leverage-induced systemic risk under Basle II and other credit risk policies

Poledna, Sebastian; Thurner, Stefan; Farmer, J. Doyne; … - In: Journal of banking & finance 42 (2014), pp. 199-212

Persistent link: https://www.econbiz.de/10010408397

Monitoring Leverage

Geanakoplos, John - 2011

We discuss how leverage can be monitored for institutions, individuals, and assets. While traditionally the interest … rate has been regarded as the important feature of a loan, we argue that leverage is sometimes even more important …. Monitoring leverage provides information about how risk builds up during booms as leverage rises and how crises start when …

Persistent link: https://www.econbiz.de/10013117902

Diversification and Systemic Bank Runs

Liu, Xuewen - 2019

Diversification through pooling and tranching securities was supposed to mitigate creditor runs in financial institutions by reducing their credit risk, yet many financial institutions holding diversified portfolios experienced creditor runs in the recent financial crisis of 2007-2009. We...

Persistent link: https://www.econbiz.de/10012898888

Does High-Frequency Trading Increase Systemic Risk?

Jain, Pankaj K. - 2016

In 2010, the Tokyo Stock Exchange, the largest stock exchange headquartered outside of the United States, introduced a new trading platform, Arrowhead. This platform was designed to reduce latency and increase co-located, high-frequency quoting and trading (HFQ) from zero to 36% of trading...

Persistent link: https://www.econbiz.de/10012986010

Economic Volatility, Banks’ Risk Accumulation and Systemic Risk

He, Wenjia; He, Wenjing; Xu, Dandan; Yue, Pengpeng - 2023

Preventing systemic risk from the perspective of bank risk accumulation has been widely researched and supported. This study focuses on the impact of economic volatility on bank risk accumulation and systemic risk. Using the proportion of non-core liabilities as the bank's risk accumulation...

Persistent link: https://www.econbiz.de/10014355289

Contagion in the interbank market and its determinants

Memmel, Christoph; Sachs, Angelika - 2011

Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for...

Persistent link: https://www.econbiz.de/10009529222

Non-performing loans, systemic risk and resilience in financial networks

Bottazzi, Giulio; Sanctis, Alessandro de; Vanni, Fabio - 2016

After the outbreak of the financial crisis in 2007-2008 the level of non-performing loans (NPLs) in the economy has generally increased. However, while in some countries this has been a transitory phenomenon, in others it still represents a major threat for economic recovery and financial...

Persistent link: https://www.econbiz.de/10011436618