Risk of the collapse of a bank credit network

Abstract

This study presents a computer simulation model to analyze the risk of transmission of financial distress in a bank credit network and the knock-on defaults of banks. The impact is quantified, which is imposed on the number of defaults by the topology of the bank credit network, the balance sheet of banks including equity capital ratio, and the capital surcharge on big banks. keywords: bank, balance sheet, capital surcharge, credit network, equity capital ratio, knock-on default. © 2012, The Japanese Society for Artificial Intelligence. All rights reserved.