Simulating financial contagion dynamics in random interbank networks

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Title: Simulating financial contagion dynamics in random interbank networks
Authors: Leventides, John
Loukaki, Kalliopi
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 congtagionRandom networksFinancial stabilityInterconectednessSystemic 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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