Template-Type: ReDIF-Paper 1.0
Author-Name: Pierre Nkou Mananga
Author-Name: Shiqiang Lin
Author-Name: Hairui Zhang 
Title: A network approach to interbank contagion risk in South Africa
Abstract: We investigate the resilience of the South African banking system using a dynamic agent-based model and the DebtRank algorithm. This approach enables us to identify each banks importance and vulnerability in the interbank network and is not limited to listed banks, as previous studies were. We find that larger banks are more systemically important, but a banks interbank-lending-to-equity multiple is significantly correlated with its vulnerability. Our research offers policymakers a direct and practical indicator for improved monitoring of financial stability.  
Creation-Date: 2023-09-06
File-URL: https://www.resbank.co.za/content/dam/sarb/publications/working-papers/2023/WP%202309.pdf
File-Format: application/pdf
File-Function: Revision
Number: 11052
Handle: RePEc:rbz:wpaper:11052