Az összekapcsoltság hatása a rendszerkockázatra homogén bankrendszerben

Csóka, Péter and Kiss, T. (2015) Az összekapcsoltság hatása a rendszerkockázatra homogén bankrendszerben. Műhelytanulmányok = Discussion Papers (MT-DP ). MTA Közgazdaság- és Regionális Tudományi Kutatóközpont Közgazdaság-tudományi Intézet, Budapest. ISBN 978-615-5447-69-3

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Abstract

The most fundamental form of systemic risk in moder n financial networks is contagion. In this article we describe a homogeneous banking system (b anks with identical preferences and the same size of total assets) with interconnectedness: banks own shares in each others’ assets. Using these simplifications we derive an analyticall y tractable indicator for systemic risk based on the expected loss of banks in case of a default in the system. Analyzing this indicator we find that increasing the volatility of the assets and dec reasing the level of equity both raises systemic risk. Furthermore, interconnectedness in the system has an ambiguous effect. On the one hand it increases the diversification effect because ban ks can cover losses by holding assets of other banks. On the other hand if the connection is stron g at the beginning, increasing it further induces additional systemic risk by raising the prob ability of contagion.

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