Abstract
To lower the risk of a chain reaction of bank failures, active studies of fund transaction networks that are related to systemic risks have been conducted globally, and they are centered in Europe. In this study, we propose a new systemic risk index that reduces the risk of a chain reaction of failures at minimum cost by building a model of interbank fund transaction networks. This model’s structure has as its basis on the Erdos-Renyi network and considers the network’s characteristics. Our verification, using an agent-based modeling method, confirms that financial assistance given to stop chain reaction failures could increase the possibility of a chain reaction and that the systemic risk index can be used as a reference to determine financial institutions that should be given financial assistance.
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Hashimoto, M., Kurahashi, S. (2017). The Research of Bankruptcies’ Succession by Systemic Risk Index. In: Kurahashi, S., Ohta, Y., Arai, S., Satoh, K., Bekki, D. (eds) New Frontiers in Artificial Intelligence. JSAI-isAI 2016. Lecture Notes in Computer Science(), vol 10247. Springer, Cham. https://doi.org/10.1007/978-3-319-61572-1_15
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DOI: https://doi.org/10.1007/978-3-319-61572-1_15
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