Post by Yoshiharu Maeno on Nov 26, 2012 9:15:37 GMT 4
Transmission of distress in a bank credit network
Yoshiharu Maeno1, Satoshi Morinaga1,
Hirokazu Matsushima2, and Kenichi Amagai2,
1 NEC Corporation, 1753 Shimonumabe, Nakahara-ku, Kawasaki,
Kanagawa 211-8666, Japan
2 Institute for International Socio-Economic Studies, 4-28 Mita, 1-chome, Minato-ku,
Tokyo 108-0073, Japan
y-maeno@aj.jp.nec.com
Abstract. The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer simulation model to analyze the risk of insolvency of banks and the consequent knock-on defaults in a bank credit network. Simulation experiments
quantify the worst impact which is imposed on the number of bank defaults by heterogeneity of the bank credit network, the equity capital ratio of banks, and the capital surcharge on big banks.
arxiv.org/ftp/arxiv/papers/1204/1204.5661.pdf
Yoshiharu Maeno1, Satoshi Morinaga1,
Hirokazu Matsushima2, and Kenichi Amagai2,
1 NEC Corporation, 1753 Shimonumabe, Nakahara-ku, Kawasaki,
Kanagawa 211-8666, Japan
2 Institute for International Socio-Economic Studies, 4-28 Mita, 1-chome, Minato-ku,
Tokyo 108-0073, Japan
y-maeno@aj.jp.nec.com
Abstract. The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer simulation model to analyze the risk of insolvency of banks and the consequent knock-on defaults in a bank credit network. Simulation experiments
quantify the worst impact which is imposed on the number of bank defaults by heterogeneity of the bank credit network, the equity capital ratio of banks, and the capital surcharge on big banks.
arxiv.org/ftp/arxiv/papers/1204/1204.5661.pdf