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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 & control 36 (2012) 8, pp. 1121-1141

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

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

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

Business fluctuations in a credit-network economy

Delli Gatti, Domenico; Gallegati, Mauro; Greenwald, Bruce; … - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 68-74

connections. Credit interlinkages among agents are a source of bankruptcy diffusion: in fact, failure of fulfilling debt … commitments would lead to bankruptcy chains. All in all, the bankruptcy in one sector can diffuse to other sectors through … linkages creating a vicious cycle and bankruptcy avalanches in the network economy. Our analysis show how the choices of credit …

Persistent link: https://www.econbiz.de/10010874086

An analytical solution for network models with heterogeneous and interacting agents

Di Guilmi, Corrado; Gallegati, Mauro; Landini, Simone; … - In: Journal of economic behavior & organization : JEBO 171 (2020), pp. 189-220

Persistent link: https://www.econbiz.de/10012288018

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

Interconnectedness as a source of uncertainty in systemic risk

Roukny, Tarik; Battiston, Stefano; Stiglitz, Joseph E. - In: Journal of financial stability 35 (2018), pp. 93-106

Persistent link: https://www.econbiz.de/10012156845

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

Leverage and asset bubbles : averting armageddon with chapter 11?

Miller, Marcus; Stiglitz, Joseph E. - 2009

Persistent link: https://www.econbiz.de/10003887221

Business flutucations and bankruptcy avalanches in an evolving network economy

Delli Gatti, Domenico; Gallegati, Mauro; Greenwald, … - In: Journal of economic interaction and coordination : JEIC 4 (2009) 2, pp. 195-212

Persistent link: https://www.econbiz.de/10003891822