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Probability, Uncertainty and Quantitative Risk
Fig. 9 | Probability, Uncertainty and Quantitative Risk

Fig. 9

From: The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

Fig. 9

Level sets of the lowest capital adequacy ratio in the banking system \(CAR:=\min _{i\in \mathcal {N}} CAR_{i}\) as a function of the buffer δ and the proportion ρ of the illiquid asset in an ENBF-model with α=0.925,β=0.9, and γ=0.2. The solid line is the boundary between many (lower right) and few (upper left) defaults. Results are averaged over 100 simulations of Π. The simulation procedure is explained in Remark 4.1

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