Effect of Asset Price Fluctuation and Inter-bank Lending and Borrowing Network on Chain Bankruptcy of Bank

Abstract

When a company goes bankruptcy, the effect can make another company go bankruptcy. This is called chain bankruptcy. In this research, we analyzed effect of asset price and inter-bank lending and borrowing network on chain bankruptcy using agent simulation. We have two results: (1) as the rate of change in asset price is higher, the final number of bankruptcy is higher; (2) as the density of links is higher, the final number of bankruptcy is lower. These results suggest that factor causing bankruptcy is both asset price fluctuation and inter-bank lending and borrowing network.