Simulating financial contagion dynamics in random interbank networks
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|Title:||Simulating financial contagion dynamics in random interbank networks||Authors:||Leventides, John
Papavassiliou, Vassilios G.
|Permanent link:||http://hdl.handle.net/10197/9601||Date:||25-Dec-2018||Online since:||2019-01-30T13:02:08Z||Abstract:||The purpose of this study is to assess the resilience of financial systems to exogenous shocks using techniques drawn from the theory of complex networks. We investigate by means of Monte Carlo simulations the fragility of several network topologies using a simple default model of contagion applied on interbank networks of varying sizes. We trigger a series of banking crises by exogenously failing each bank in the system and observe the propagation mechanisms that take effect within the system under different scenarios. Finally, we add to the existing literature by analyzing the interplay of several crucial drivers of interbank contagion, such as network topology, leverage, interconnectedness, heterogeneity and homogeneity across bank sizes and interbank exposures.||Type of material:||Journal Article||Publisher:||Elsevier||Journal:||Journal of Economic Behavior & Organization||Copyright (published version):||2018 Elsevier||Keywords:||Interbank congtagion; Random networks; Financial stability; Interconectedness; Systemic risk||DOI:||10.1016/j.jebo.2018.12.017||Language:||en||Status of Item:||Peer reviewed|
|Appears in Collections:||Business Research Collection|
UCD RePEc Archive Collection
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