金融システムを安定化する最適な投融資ポートフォリオと銀行間ネットワーク

抄録

This study presents an ANWSER model (asset network systemic risk model) to compute a bankruptcy reproductive ratio in analyzing the risk of bank failures in a financial crisis. We present the bankruptcy reproductive ratio as a function of the average number of interbank loans, the share of big banks, the risk exposure and diversity of investments which banks make.