"The study of Systemic Risk considering structure of Inter-bank transaction. "

Abstract

"Systemic risk that propagates through financial systems causes insolvency or failure of particular fi-nancial institutions such as Bankruptcy of Lehman Brothers or European debt crisis. Although many researchers have challenged to find the propagation mechanism of the crisis in the inter-bank network, it is not clear completely yet. Namatame (2013)1) shows four fundamental models, Eisenberg-Noe model, GK model, NYYA model, and May model. We focus on May model which uses mean-field approximation methods of a network structure, and try to extend the model to Agent-based modelling with a realistic network structure. Considering liquidity risk and the inter-bank transaction structure of Japan, this paper also examines a possibility of an effect of a capital infusion. The purpose of this study is to find a suggestion to help systemic risk reduce by reviewing and simulating several cases of defaults in financial institutions."