Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020
We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to …, banks which are active in both the interbank and securities markets may channel financial distress between the two markets … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected …