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