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@article{4800,
author = {Klinger, Tomáš and Teplý, Petr},
article_location = {Praha},
article_number = {1},
keywords = {agent-based models, bailout, contagion, financial crises, financial stability, liquidity risk, network models, systemic risk},
language = {eng},
issn = {1802-792X},
journal = {Acta VŠFS},
note = {V RIVu vykázáno za UK, nikoliv za naší školu.},
title = {Modelling Interconnections in the Global Financial System in the Light of Systemic Risk},
url = {http://www.vsfs.cz/periodika/acta-2014-01.pdf},
volume = {8},
year = {2014}
}
TY - JOUR
ID - 4800
AU - Klinger, Tomáš - Teplý, Petr
PY - 2014
TI - Modelling Interconnections in the Global Financial System in the Light of Systemic Risk
JF - Acta VŠFS
VL - 8
IS - 1
SP - 64-88
EP - 64-88
PB - Vysoká škola finanční a správní
SN - 1802792X
N1 - V RIVu vykázáno za UK, nikoliv za naší školu.
KW - agent-based models, bailout, contagion, financial crises, financial stability, liquidity risk, network models, systemic risk
UR - http://www.vsfs.cz/periodika/acta-2014-01.pdf
N2 - In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based modelling of banking networks’ systemic stability by adding the sovereign sector and the mechanisms of risk transfer between the banks and the sovereigns when state aid is initiated. The model implements two types of state support to banks, bailouts and asset relief. We show that these two have different effect on systemic stability, but both mitigate the systemic crisis in the short run. How the state aid measures are efficient in the long run depends on the model’s parameterization.
ER -
KLINGER, Tomáš a Petr TEPLÝ. Modelling Interconnections in the Global Financial System in the Light of Systemic Risk. \textit{Acta VŠFS}. Praha: Vysoká škola finanční a správní, 2014, roč.~8, č.~1, s.~64-88. ISSN~1802-792X.
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