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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - 2012
likelihood of intracommunity default contagion is expected to be high. …
Persistent link: https://www.econbiz.de/10010310151
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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-17, pp. 1-39
In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...
Persistent link: https://www.econbiz.de/10010312011
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Default Cascades: When Does Risk Diversification Increase Stability?
Battiston, Stefano; Gatti, Domenico Delli; Gallegati, Mauro - Department of Management, Technology and Economics …
We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture in...
Persistent link: https://www.econbiz.de/10011161426
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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - In: Economics - The Open-Access, Open-Assessment E-Journal 7 (2013), pp. 1-39
In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...
Persistent link: https://www.econbiz.de/10010954751
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Finding communities in credit networks
Bargigli, Leonardo; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2012
likelihood of intracommunity default contagion is expected to be high. …
Persistent link: https://www.econbiz.de/10010956113
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Financial fragility and distress propagation in a network of regions
Vitali, Stefania; Battiston, Stefano; Gallegati, Mauro - Department of Management, Technology and Economics …
financial acceleration and contagion. In particular, beyond a certain level of integration the economy suffers more frequently …
Persistent link: https://www.econbiz.de/10010579523
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The Asymmetric Effect of Diffusion Processes: Risk Sharing and Contagion
Gallegati, Mauro; Greenwald, Bruce; Richiardi, Matteo; … - In: Global Economy Journal 8 (2008) 3, pp. 2-2
-sharing and contagion effects at the same time. We illustrate the relevance of our theory with reference to the subprime mortgage … formed, with respect to what is socially desirable. The risk of contagion increases the volatility of the outcome and thus … good times should be to disrupt the channels that bring contagion, that is a positive correlation in the returns, in a …
Persistent link: https://www.econbiz.de/10005046650
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The Asymmetric Effect of Diffusion Processes: Risk Sharing and Contagion
Gallegati, Mauro; Greenwald, Bruce; Richiardi, Matteo; … - Collegio Carlo Alberto, Università degli Studi di Torino - 2007
We provide a general characterization of diffusion processes, allowing to analyze both risk-sharing and contagion at … when the economic environment deteriorates. The risk of contagion increases the volatility of outcome and thus reduces the …
Persistent link: https://www.econbiz.de/10005181130
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Default cascades: When does risk diversification increase stability?
Battiston, Stefano; Gatti, Domenico Delli; Gallegati, Mauro - In: Journal of Financial Stability 8 (2012) 3, pp. 138-149
We explore the dynamics of default cascades in a network of credit interlink-ages in which each agent is at the same time a borrower and a lender. When some counterparties of an agent default, the loss she experiences amounts to her total exposure to those counterparties. A possible conjecture...
Persistent link: https://www.econbiz.de/10010599315
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Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk
Battiston, Stefano; Delli Gatti, Domenico; Gallegati, Mauro - In: Journal of Economic Dynamics and Control 36 (2012) 8, pp. 1121-1141
The recent financial crisis poses the challenge to understand how systemic risk arises endogenously and what architecture can make the financial system more resilient to global crises. This paper shows that a financial network can be most resilient for intermediate levels of risk...
Persistent link: https://www.econbiz.de/10010599374