Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System
In recent times, all world banks have been threatened by the liquidity risk problem. This phenomenon represents a devastating financial threat to banks and may lead to irrecoverable consequences in case of negligence or underestimation. In this article, we study a mathematical model that describes t...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/5382153 |
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| _version_ | 1849401606301286400 |
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| author | Hamza Mourad Said Fahim Adriana Burlea-Schiopoiu Mohamed Lahby Abdelbaki Attioui |
| author_facet | Hamza Mourad Said Fahim Adriana Burlea-Schiopoiu Mohamed Lahby Abdelbaki Attioui |
| author_sort | Hamza Mourad |
| collection | DOAJ |
| description | In recent times, all world banks have been threatened by the liquidity risk problem. This phenomenon represents a devastating financial threat to banks and may lead to irrecoverable consequences in case of negligence or underestimation. In this article, we study a mathematical model that describes the contagion of liquidity risk in the banking system based on the SIR epidemic model simulation. The model consists of three ordinary differential equations illustrating the interaction between banks susceptible or affected by liquidity risk and tending towards bankruptcy. We have demonstrated the bornness and positivity of the solutions, and we have mathematically analyzed this system to demonstrate how to control the banking system’s stability. Numerical simulations have been illustrated by using real data to support the analytical results and prove the effects of different system parameters studied on the contagion of liquidity risk. |
| format | Article |
| id | doaj-art-882b127fd8d74164a66a86a41cea1d05 |
| institution | Kabale University |
| issn | 1687-0042 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-882b127fd8d74164a66a86a41cea1d052025-08-20T03:37:44ZengWileyJournal of Applied Mathematics1687-00422022-01-01202210.1155/2022/5382153Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking SystemHamza Mourad0Said Fahim1Adriana Burlea-Schiopoiu2Mohamed Lahby3Abdelbaki Attioui4University Hassan IIUniversity Hassan IIUniversity of CraiovaUniversity Hassan IIUniversity Hassan IIIn recent times, all world banks have been threatened by the liquidity risk problem. This phenomenon represents a devastating financial threat to banks and may lead to irrecoverable consequences in case of negligence or underestimation. In this article, we study a mathematical model that describes the contagion of liquidity risk in the banking system based on the SIR epidemic model simulation. The model consists of three ordinary differential equations illustrating the interaction between banks susceptible or affected by liquidity risk and tending towards bankruptcy. We have demonstrated the bornness and positivity of the solutions, and we have mathematically analyzed this system to demonstrate how to control the banking system’s stability. Numerical simulations have been illustrated by using real data to support the analytical results and prove the effects of different system parameters studied on the contagion of liquidity risk.http://dx.doi.org/10.1155/2022/5382153 |
| spellingShingle | Hamza Mourad Said Fahim Adriana Burlea-Schiopoiu Mohamed Lahby Abdelbaki Attioui Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System Journal of Applied Mathematics |
| title | Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System |
| title_full | Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System |
| title_fullStr | Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System |
| title_full_unstemmed | Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System |
| title_short | Modeling and Mathematical Analysis of Liquidity Risk Contagion in the Banking System |
| title_sort | modeling and mathematical analysis of liquidity risk contagion in the banking system |
| url | http://dx.doi.org/10.1155/2022/5382153 |
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