Back to Search
Start Over
MEASUREMENT AND INTERNALIZATION OF SYSTEMIC RISK IN A GLOBAL BANKING NETWORK.
- Source :
-
International Journal of Modern Physics C: Computational Physics & Physical Computation . Jan2013, Vol. 24 Issue 1, p1250093-1-1250093-15. 15p. 2 Charts, 6 Graphs. - Publication Year :
- 2013
-
Abstract
- The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions using a Susceptible-Infected-Removable (SIR) type of epidemic spreading model and the Shapley value (SV) in game theory. The paper also explores features of a constructed bank network using real globe-wide banking data. [ABSTRACT FROM AUTHOR]
- Subjects :
- *BANKING industry
*GLOBALIZATION
*BUSINESS failures
*BANK management
*BANK failures
Subjects
Details
- Language :
- English
- ISSN :
- 01291831
- Volume :
- 24
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- International Journal of Modern Physics C: Computational Physics & Physical Computation
- Publication Type :
- Academic Journal
- Accession number :
- 86679681
- Full Text :
- https://doi.org/10.1142/S0129183112500933