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International Econometric Conference of Vietnam

ECONVN 2018: Econometrics for Financial Applications pp 397–420Cite as

Interbank Contagion: An Agent-Based Model for Vietnam Banking System

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Part of the book series: Studies in Computational Intelligence ((SCI,volume 760))

Abstract

Network connectivity and credit contagion have drawn a great concern after financial crises with collapses of too-big-to-fail institutions and their consequences. The matter in question here is the impact and mechanism of contagion, which means how collapses of one or several institutions can trigger subsequent failures and in turn affect the whole system. This article proposes an agent-based approach to construct an interactive inter-bank system simulating the decisions of 19 Vietnamese banks and their balance sheets. A stress-testing mechanism is also provided to test the effects of idiosyncratic and systemic shocks of different magnitudes on the system. Initial results suggest that while idiosyncratic shocks don’t substantially damage the banking network, systemic impairment could devastate the system, particularly in case it stimulates contagion of bank defaults.

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Author information

Authors and Affiliations

  1. John von Neumann Institute, Vietnam National University, Ho Chi Minh City, 70000, Vietnam

    Anh T. M. Vu, Thong P. Le, Thanh D. X. Duong & Tai T. Nguyen

Authors
  1. Anh T. M. Vu
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  2. Thong P. Le
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  3. Thanh D. X. Duong
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  4. Tai T. Nguyen
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Corresponding author

Correspondence to Anh T. M. Vu .

Editor information

Editors and Affiliations

  1. Banking University HCMC, Ho Chi Minh City, Vietnam

    Ly H. Anh

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Le Si Dong

  3. Computer Science Department, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  4. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

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Vu, A.T.M., Le, T.P., Duong, T.D.X., Nguyen, T.T. (2018). Interbank Contagion: An Agent-Based Model for Vietnam Banking System. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds) Econometrics for Financial Applications. ECONVN 2018. Studies in Computational Intelligence, vol 760. Springer, Cham. https://doi.org/10.1007/978-3-319-73150-6_32

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  • DOI: https://doi.org/10.1007/978-3-319-73150-6_32

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-73149-0

  • Online ISBN: 978-3-319-73150-6

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