Network topology and interbank credit risk

DOI10.1016/j.chaos.2015.11.044zbMath1415.91301OpenAlexW2199421376MaRDI QIDQ508318

José Roberto Iglesias, Vanessa Hoffmann de Quadros, Juan Carlos González-Avella

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2015.11.044

zbMATH Keywords

power lawscontagioncomplex networkssystemic riskfinancial crashesinterbank exposures

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40)

Related Items (9)

Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets ⋮ Media coverage and investor scare behavior diffusion ⋮ Bank multiplex networks and systemic risk ⋮ Multiplex networks of the guarantee market: evidence from China ⋮ Disturbances and complexity in volatility time series ⋮ Investor behavior, information disclosure strategy and counterparty credit risk contagion ⋮ Double-layer network model of bank-enterprise counterparty credit risk contagion ⋮ Complexity in quantitative finance and economics ⋮ The influence of risk attitude on credit risk contagion -- perspective of information dissemination

Uses Software

• plfit

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Network models and financial stability
• Contagion and risk-sharing on the inter-bank market
• Emergence of Scaling in Random Networks
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Power-Law Distributions in Empirical Data
• Directed scale-free graphs
• Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
• Network topology of the interbank market

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