Philipp Mundt gewinnt Wissenschaftspreis der Deutschen Bundesbank

Philipp Mundt vom Lehrstuhl für VWL, insb. internationale Wirtschaft an der Universität Bamberg hat mit seiner Diplomarbeit den mit 1.500€ dotierten Wissenschaftspreis der Deutschen Bundesbank gewonnen. Die Arbeit mit dem Titel "Financial contagion and systemic risk in network models of the banking sector" wurde unter der Betreuung von Prof. Dr. Thomas Lux, Lehrstuhl für Geld, Währung und internationale Finanzmärkte, an der Universität Kiel angefertigt.

Die Arbeit untersucht, inwiefern die Stabilität von Bankensystemen in Krisensituationen von der Struktur der Netzwerkverflechtung zwischen den Banken abhängig ist.

Im Folgenden der Abstract der Arbeit in Englisch:

The 2007 financial and banking crisis showed clearly the relevance of domino effects and financial contagion in banking systems. Starting in the U.S. real estate market, the crisis spread rapidly to banks around the world and brought the entire financial system to the verge of a collapse.
The threat of domino effects and contagious defaults originates from the network topology of the banking sector. In this global financial network banks are linked to each other through interbank loans or other bilateral payment obligations and various forms of indirect connections. While, on the one hand, more connections may improve risk sharing, they may also exacerbate crises by triggering cascades of losses and negative feedback effects in times of financial distress.
Analysing the characteristics and robustness of financial networks is a first step towards the much emphasized macroprudential regulation of the banking sector. This paper explores how system stability is affected by the network topology of the interbank market. I employ a theoretical model of the banking system that takes explicitly into account network externalities. Financial contagion enters the model through the interbank lending channel and changes in asset prices which may force banks to adjust the size of their balance sheets, thereby amplifying the price decline and the spread of the disease. I use concepts from graph theory to model a network of bilateral payment obligations: Banks are represented by vertices and (directed) edges between two vertices indicate the presence of a financial obligation between the counterparties. Based on the findings of several empirical studies on the macroscopic characteristics of national banking systems, I construct artificial financial networks which exhibit some of the most frequently observed characteristics of real financial networks: small path lengths, clustering, power-law degree distributions and hierarchical properties. In detail, I consider classical random graphs, scale-free networks, “Small-World” networks and networks with a core-periphery structure. In computer simulations, I explore the robustness of these networks in case of idiosyncratic and systemic shocks and investigate how the network reacts to changes in the key parameters of the banking system such as the size of capital buffers, market liquidity, contract size, and shock size. The results suggest that contagion is most pressing in homogeneous networks with small clustering, while networks with tiering and disassortative mixing by degree turn out to be more resilient to idiosyncratic and systemic shocks. Further, I find that the size of both equity capital and liquidity buffers is crucial for the stability of the banking system.