contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three …

contagion and aggregate losses in a stylised financial system. Systemic instability is explored in a financial network …

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the … probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure … probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the …

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis …. We develop a network approach to the amplification of financial contagion due to the combination of overlapping … effects, and as a result financial contagion gets worse with too much diversification. There is a critical threshold for …

We study the problem of interacting channels of contagion in financial networks. The first channel of contagion is … contagion is overlapping portfolio exposures; this is studied using a stylized model. We perform stress tests according to … different protocols. For the parameters we study neither channel of contagion results in large effects on its own. In contrast …

We consider a model of contagion in financial networks recently introduced in Gai, P. and Kapadia, S. [Contagion in …, heterogeneous balance sheet size and degree correlations between banks. We study the probability of contagion conditional on the … heterogeneous degree distributions are shown to be more resilient to contagion triggered by the failure of a random bank, but more …