Contagion Model for Multi-Layer Financial Network Considering Heterogeneous Liquid Asset

2021 ◽  
Author(s):  
Juxing Zhu ◽  
Ning Huang
Keyword(s):  
Financial Network ◽  
Liquid Asset ◽  
Contagion Model

CONTAGION IN HETEROGENEOUS FINANCIAL NETWORKS

2016 ◽  
Vol 19 (01n02) ◽  
pp. 1650001 ◽  
Author(s):  
YUANYING GUAN ◽  
MICAH POLLAK
Keyword(s):  
Real World ◽  
Financial System ◽  
Financial Networks ◽  
Network Structures ◽  
Financial Network ◽  
Banking Systems ◽  
Stabilizing Effect ◽  
Contagion Model ◽  
The Stability

In this paper, we use the financial network contagion model of Gai P. and Kapadia S. [Contagion in financial networks, Proc. R. Soc. A 466 (2010) 2401–2423] to investigatethe interaction of several types of heterogeneity found in real world banking systems. The first source of heterogeneity originates in the distribution of assets across banks in the financial system. The second source is in how individual banks then distribute these assets among their neighbors. We characterize how these two sources of heterogeneity interact to affect the probability and extent of financial contagions in three network structures. We find that greater heterogeneity has a stabilizing effect for networks that are sparsely connected and a destabilizing effect for networks that are highly interconnected. Finally, we consider multiple sequential shocks and find that when banks redistribute assets following an initial mild contagion it increases the stability, on average, of the system to subsequent shocks originating at weakened banks.

A Truly Liquid Asset

CFA Magazine ◽  
2011 ◽  
Vol 22 (3) ◽  
pp. 45-47
Author(s):  
Ed McCarthy
Keyword(s):  
Liquid Asset

scholarly journals Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market

2015 ◽  
Vol 63 (6) ◽  
pp. 1953-1960
Author(s):  
Pavla Klepková Vodová
Keyword(s):  
Scenario Analysis ◽  
Commercial Banks ◽  
Interbank Market ◽  
Average Sensitivity ◽  
Liquid Asset ◽  
Banks And Banking

The aim of this paper is to measure the sensitivity of commercial banks from the Erste Group to the confidence crisis on the interbank market and to compare their sensitivity with average sensitivity of banks in particular countries. We have used the methodology of scenario analysis for the liquid asset ratio. All banks belonging to the Erste Group should be able to withstand the confidence crisis on the interbank market. The group of the most vulnerable banks consists from Erste bank Hungary and Banca Comerciala Romana from Romania. In some cases, banks from the Erste Group are more sensitive; while in other cases are banks belonging to the Erste Group less vulnerable than corresponding banking sectors. Except of banks from Hungary, Romania and Slovakia, subsidiary banks are less sensitive to the confidence crisis than the parent bank. Banks (and banking sectors) who are net borrowers on the interbank market are much more sensitive to the confidence crisis on this market.

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