Chaire ACPR régulation et risque systèmique Crisis and contagion in nancial networks: a dynamic approach

We study the dynamics of a connected banking sector where the nancial links between banks are explicitly modelled, including the liquidation procedures in the case of the failure of an individual bank. This model of banking network allows us to simulate the bankruptcy contagion process and quantify the extent of a banking crisis. We discuss the impact of various structural parameters on the contagion process.

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Chaire ACPR régulation et risque systèmique Crisis and contagion in nancial networks: a dynamic approach
  • Publié le 13/08/2019
  • FR
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Mis à jour le : 13/08/2019 09:12