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. |
