Table 1 Extension parameters

α

Realized fraction of external asset value in case of bankruptcy

[0.5,1]

β

Realized fraction of interbank asset value in case of bankruptcy

[0,1]

ρ

Proportion of the illiquid asset

[0,0.05]

γ

Exponent of the inverse demand function

[0,1]

c

Integration of the cross-holdings matrix

[0,0.9]

d

Diversification of the cross-holdings matrix

[1,90]

κ

Realized fraction of cross-holdings’ market value

[0,1]

\(\mathbb {I}\)

Order of liquidation

{0,1}