Fig. 7

Average a and standard deviation b of the number of defaults for n=100 banks as a function of integration c for d=10, and for different bankruptcy costs parametrized by α in an integrated financial system with β=0.9, γ=0.2, ρ=0.02, κ=0.8, \(\mathbb {I}=\boldsymbol {1}\) averaged over 100 simulations of Π, each averaged over 100 simulations of C. The simulation procedure is explained in Remark 4.1