Cascading bankruptcies under simultaneous sectorial shocks: Theory and application to the Tunisian banking sector
本文构建理论模型研究同时部门冲击对银行系统稳健性的影响，模拟显示在突尼斯银行业中，若无及时干预，工业、商业和房地产部门的冲击可通过级联传染导致1至10家银行破产。
Abstract This paper proposes a theoretical framework modelling the effect of simultaneous sectorial shocks on the banking system resilience, in presence of overlapping portfolio risk. A sectorial shock decreases the value of banks' assets and solvency. We show that beyond a determined threshold, the regulator (central bank) shall intervene in order to avoid that simultaneous sectorial shocks lead to bankruptcies in a cascading process. The model is simulated in the context of the Tunisian banking system for a variety of extreme macroeconomic conditions (economic recession and inflation). The simulations show that the simultaneous shocks to industry, commerce and real estate sectors might lead to the bankruptcies of one to 10 banks among the 23 Tunisian banks via the cascading contagion channel, in the absence of a prompt and adequate intervention by the regulator.