Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258455 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 8 [Article No.:] 351 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-16
Publisher: 
MDPI, Basel
Abstract: 
The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of domestic crises and how contagion spreads over countries. Results allow detailing the role of a "lighter" or of a "fueler" of financial crises for each country and assessing how each country can affect each other country by contagion, signaling the importance of financial interdependence between some neighboring countries, and detailing which counterpart country would be affected by the ring-fencing of each considered country's banking system. The method also allows for what-if analyses to optimize the risk exposures, and to plan an emergency strategy in case of alarms coming from specific countries.
Subjects: 
banking system
international contagion
Monte Carlo simulation
systemic risk
JEL: 
G01
G17
G15
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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