Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities

Fatone, Lorella; Mariani, Francesca

doi:10.1007/s11403-019-00277-y

Cited by 4 publications

(1 citation statement)

References 27 publications

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“…Moreover, both studies highlight how these abrupt changes can predict systemic risk. On the other hand, the paper by Fatone and Mariani (2019) describes interaction via banks' balance sheet interdependence. The authors model the time evolution of banks' assets/liabilities via a system of interacting stochastic differential equations.…”

Section: Essays On Instability and Financementioning

confidence: 99%

Taming financial systemic risk: models, instruments and early warning indicators

Tedeschi

Caccioli

Recchioni

2019

J Econ Interact Coord

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In recent decades, most advanced and developing economies have suffered-or are still suffering-from profound and repeated crises. The literature has reflected on the determinants of these perturbations by placing particular emphasis on the malfunctioning of either the real or financial sphere of the economy. The main research question has been to understand whether it was the real economy that perturbed finance sectors or, alternatively, the financial/credit market that depressed real production. Whatever the direction of the causality nexus and, consequently the origin of the attack, with some studies identifying the direction from real markets to financial sectors (see Bernanke and Gertler 1989;Greenwald and Stiglitz 1993;Delli Gatti et al. 2012) and others reversing it (see Christiano and Ikeda 2011;Brunnermeier et al. 2012), what is certainly undoubted is the self-reinforcing interaction between the two sectors, which translates into booms followed by busts. In light of this, part of the literature has not focused as much on the origin of crises, but rather on the mechanisms of shock propagation. In this regard, many studies have shown that a combination of forces is needed to generate shock transmission. Specifically, the literature on contagion has shown that agents' interaction and the emerging network topology are key ingredients for the spread of systemic risk (see, for instance, Lux 2016; Lux and Montagna 2017). The interaction has in fact been recognized as generating two opposing effects: risk sharing, which decreases with connectivity, and systemic risk, which in contrast, increases with linkages (see, for instance, Allen and Gale 2000; Battiston et al.

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Section: Essays On Instability and Financementioning

confidence: 99%

Taming financial systemic risk: models, instruments and early warning indicators

Tedeschi

Caccioli

Recchioni

2019

J Econ Interact Coord

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Current Trends in the Development of the Banking System of Ukraine

Shvayko,

Mykysha

2022

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Abstract. The article examines the peculiarities of the banking system of Ukraine and analyzes foreign experience in this area. The results of the study show that the domestic banking system is less capitalized compared to developed countries and has a smaller reserve of liquidity. It was determined that by using advanced global trends in monetary policy and the implementation of banking activity, it is possible to improve its condition. A study of the state of the banking system of Ukraine in modern conditions was conducted and its key trends were identified. We note the decrease in the number of banks and the decrease in their profitability with the introduction of martial law due to the increase in risks and the deterioration of the socio-economic situation of the country. However, in general, the banking system has withstood the serious challenges of the modern stage: banks operate and lend while maintaining liquidity. It is justified that in today's conditions, an important task is to support the activities of banking institutions. In order to ensure the smooth operation of banks and the electronic payment system, the NBU took timely steps that allowed this period to pass with moderate losses for the financial sector. Thus, the NBU reduced the requirements for the formation of reserves and refinanced banks in order to increase the liquidity of the banking system of Ukraine. The government's interest expense compensation programs also have a positive impact on credit recovery and the state of the banking system. The article formulates the key problems of the banking system of Ukraine and defines the ways of its development, the use of which will contribute to the optimization of its activity and the development of the financial system as a whole.

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Analysis of Digital Operation of Rural Sewage Treatment System in Big Data Environment by Discrete Dynamic Modeling Technology

Wang

2022

Front. Energy Res.

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Sewage treatment is a process with high energy consumption and pollution. In the current situation of energy shortage and fierce competition in the paper industry market, how to reduce the energy cost is related to the survival and development of every sewage treatment plant. With the rise of big data environment in the internet, discrete dynamic modeling technology has developed very rapidly. Discrete dynamic modeling technology is a dynamic model system that can connect the information of different things, so as to form a dynamic model system that can control all devices or data. The object attributes processed by the model system also determine the nature of the dynamic model system. As we all know, the big data environment is a large database with complex data types, so the dynamic model system in the big data environment is nonlinear. This paper mainly studies the historical development trend of big data environment and discrete dynamic modeling technology, as well as the stability method of five level H-bridge when discrete dynamic modeling technology controls rural sewage treatment system. Finally, the control of chaotic bifurcation in discrete dynamic model system under digital background is studied. It includes the rectifier modeling of the current data required by large devices in the sewage treatment system and the result analysis of the generated values.

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Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities

Cited by 4 publications

References 27 publications

Taming financial systemic risk: models, instruments and early warning indicators

Taming financial systemic risk: models, instruments and early warning indicators

Current Trends in the Development of the Banking System of Ukraine

Analysis of Digital Operation of Rural Sewage Treatment System in Big Data Environment by Discrete Dynamic Modeling Technology

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