Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets
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Publication:2137655
DOI10.1016/j.physa.2019.123006OpenAlexW2978354176WikidataQ127191827 ScholiaQ127191827MaRDI QIDQ2137655
Jun Luo, Ting-Qiang Chen, Qianru Zeng, Yu-Tong Wang
Publication date: 16 May 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.123006
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Cites Work
- Network topology and interbank credit risk
- Network models and financial stability
- A model of the topology of the bank -- firm credit network and its role as channel of contagion
- Contagion and risk-sharing on the inter-bank market
- On the network topology of variance decompositions: measuring the connectedness of financial firms
- Systemic Risk in Financial Systems
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