Parameter | Description | Range of variation |
---|---|---|

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 |