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Systemic Risk in the Interbank Market with Overlapping Portfolios
Joint Authors
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-04-16
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
The increasing frequency and scope of the financial crisis have attracted more attention in the research of the systemic risk of banking system.
A new model for the interbank market with overlapping portfolios is proposed to simulate a banking system in this work.
The proposed model uses a bipartite network of banks and their assets to analyze the impact of bank investment on the stability of the banking system.
In addition, this model introduces investment risk and allows banks to make up for liquidity by selling devaluated assets, which reflects the operating rules of the banking system more realistically.
The results show that allowing banks to sell devaluated assets to make up for liquidity can improve the stability of the banking system and the interbank market can also improve the stability of the banking system.
For the investment of banks, the investment risk is an uncertain factor that affects the stability of the banking system.
The proposed model further analyzes the impact of average investment interest rate, savings interest rate, deposit reserve ratio, and investment asset diversity on the stability of the banking system.
The model provides a tool for policy-makers and supervision agencies to prevent the systemic risk of banking system.
American Psychological Association (APA)
Jiang, Shanshan& Fan, Hong. 2019. Systemic Risk in the Interbank Market with Overlapping Portfolios. Complexity،Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1132076
Modern Language Association (MLA)
Jiang, Shanshan& Fan, Hong. Systemic Risk in the Interbank Market with Overlapping Portfolios. Complexity No. 2019 (2019), pp.1-12.
https://search.emarefa.net/detail/BIM-1132076
American Medical Association (AMA)
Jiang, Shanshan& Fan, Hong. Systemic Risk in the Interbank Market with Overlapping Portfolios. Complexity. 2019. Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1132076
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1132076