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Systemic Losses Due to Counterparty Risk in a Stylized Banking System
2014
Journal of statistical physics
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to distressed whenever its liabilities are larger than the banks' assets. The banks are connected through an interbank lending network and, whenever a bank is distressed, its creditor
doi:10.1007/s10955-014-1040-9
fatcat:mo7mg6ykjrhnzokfc4oihak7v4