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Bargigli, Leonardo; Gallegati, Mauro - 2012

likelihood of intracommunity default contagion is expected to be high. …

Persistent link: https://www.econbiz.de/10010310151

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

Liaisons dangereuses : increasing connectivity, risk sharing, and systemic risk

Battiston, Stefano; Delli Gatti, Domenico; Gallegati, Mauro - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1121-1141

Persistent link: https://www.econbiz.de/10009634277

Default cascades : when does risk diversification increase stability?

Battiston, Stefano; Delli Gatti, Domenico; Gallegati, Mauro - In: Journal of financial stability 8 (2012) 3, pp. 138-149

Persistent link: https://www.econbiz.de/10009655818

Finding communities in credit networks

Bargigli, Leonardo; Gallegati, Mauro - In: Economics - The Open-Access, Open-Assessment E-Journal 7 (2013), pp. 1-39

Persistent link: https://www.econbiz.de/10010954751

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

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

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

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

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