Publication detail

Modelling interconnections in the global financial system in the light of systemic risk

Author(s): PhDr. Tomáš Klinger Ph.D.,
prof. PhDr. Petr Teplý Ph.D.,
Type: Articles in refereed journals
Year: 2014
Number: 1
ISSN / ISBN: ISSN 1802-7946
Published in: ACTA VŠFS - University of Finance and Administration, Czech Republic
Publishing place: Prague, Czech Republic
Keywords: agent-based models, bailout, contagion, financial crises, financial stability, liquidity risk, network models, systemic risk
JEL codes: C63, D85, G01, G21, G28
Suggested Citation: Klinger, T., Teplý, P. (2014), “Modelling interconnections in the global financial system in the light of systemic risk.“ ACTA VŠFS - University of Finance and Administration, No. 1, pp. 64–88.
Grants: GACR 14-02108S The nexus between sovereign and bank crises VŠE IP100040
Abstract: In this paper, we focused on the link between systemic risk and sovereign crises. We modelled
how state support may influence a distressed financial system on a model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based modelling of systemic stability by adding the sovereign sector and the mechanisms of risk transfer between the banks and the sovereigns. The model implements two types of state support to banks: bailout and asset relief.

Partners

Deloitte
Česká Spořitelna

Sponsors

CRIF
McKinsey
Patria Finance
EY