Montagna, Mattia; Kok Sørensen, Christoffer - 2013
In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The … sum of the contagion-induced losses when considering the network layers individually. In addition, a bank “systemic … importance” measure based on the multi-layered network model is developed and is shown to outperform standard network centrality …