About: Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.vse.cz/pep/471
Description	The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 financial crisis. In this paper, we construct an agent-based network model of systemic risk to a banking system, and use it for stress-testing of several different regulatory measures. First, our simulations confirm that sufficient capital buffers in individual banks are crucial for protecting the stability of the whole system. Second, we show that the regulatory measures installed as preventive measures to ensure that the banks possess sufficient capital buffers have almost no positive effects on stability when the system is collapsing. Finally, we highlight various data deficiencies which prevent the researchers and regulators from fully understanding the complete range of systemic risk and make it difficult to devise effective and targeted regulatory measures at this time. The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 financial crisis. In this paper, we construct an agent-based network model of systemic risk to a banking system, and use it for stress-testing of several different regulatory measures. First, our simulations confirm that sufficient capital buffers in individual banks are crucial for protecting the stability of the whole system. Second, we show that the regulatory measures installed as preventive measures to ensure that the banks possess sufficient capital buffers have almost no positive effects on stability when the system is collapsing. Finally, we highlight various data deficiencies which prevent the researchers and regulators from fully understanding the complete range of systemic risk and make it difficult to devise effective and targeted regulatory measures at this time. (en)
Title	Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach (en)
skos:prefLabel	Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach (en)
skos:notation	RIV/00216208:11230/14:10271851!RIV15-MSM-11230___
http://linked.open...avai/riv/aktivita	I P S
http://linked.open...avai/riv/aktivity	I, P(GA14-02108S), S
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Klinger, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	49214
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/14:10271851
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	systemic risk; interbank network; capital; Basel III; banking regulation; agent-based modelling (en)
http://linked.open.../riv/klicoveSlovo	agent-based modelling Basel III interbank network systemic risk capital banking regulation
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[D28BD5F26482]
http://linked.open...i/riv/nazevZdroje	Prague Economic Papers
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	The nexus between sovereign and bank crises
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	23
http://linked.open...iv/tvurceVysledku	Klinger, Tomáš Teplý, Petr
http://linked.open...ain/vavai/riv/wos	000334900500002
issn	1210-0455
number of pages	18 (xsd:int)
http://localhost/t...ganizacniJednotka	11230

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