Multi-layered interbank model for assessing systemic risk

Arbeitspapier

In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are non-negligible non-linearities in the propagation of shocks to individual banks when taking into account that banks are related to each other in various market segments. In a nutshell, the contagion effects when considering the shock propagation simultaneously across multiple layers of interbank networks can be substantially larger than the sum of the contagion-induced losses when considering the network layers individually. In addition, a bank 'systemic importance' measure based on the multi-layered network model is developed and is shown to outperform standard network centrality indicators.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1873

Classification and Topics

• Classification: Wirtschaft ; Neural Networks and Related Topics ; Computational Techniques; Simulation Modeling ; Network Formation and Analysis: Theory ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: financial contagion ; interbank market ; network theory

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Montagna, Mattia ; Kok, Christoffer
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/83493
• Last update: 10.03.2025, 11:44 AM CET