We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected … agents is more prone to contagion risk stemming from funding shocks. …

contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …

on, allow us to better measure financial contagion and systemic risk events in the model and to study the possible …

. The aim is to highlight the “time-space dynamics” of contagion, i.e., if the CDS spread of bank i depends on the CDS … can be interpreted as an index of the degree of cross-sectional spillovers. The findings highlight that the Eurozone banks … have strong spatial dependence in the evolution of CDS spread, namely the contagion effect is present and persistent …