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Simulating Financial Contagion Dynamics in Random Interbank Networks
Leventides, John - 2019
The purpose of this study is to assess the resilience of financial systems to exogenous shocks using techniques drawn from the theory of complex networks. We investigate by means of Monte Carlo simulations the fragility of several network topologies using a simple default model of contagion...
Persistent link: https://www.econbiz.de/10012898259
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Financial Contagion with Spillover Effects : A Multiplex Network Approach
Peralta, Gustavo - 2016
This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....
Persistent link: https://www.econbiz.de/10013001116
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Financial Fragility and Contagion in Interbank Networks
Pegoraro, Stefano - 2019
In this paper I assess the resilience of different network topologies to an exogenous shock for varying degrees of financial integration, as defined by connectivity. Three different network configurations for the financial system are taken into consideration: random graphs, small world networks...
Persistent link: https://www.econbiz.de/10012905375
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Non-Performing Loans and Systemic Risk in Financial Networks
Bottazzi, Giulio - 2020
In this paper we study the impact of non-performing loans (NPLs) on financial stability using a network based approach … and firms are linked by their reciprocal claims and study how an exogenous increase in NPLs affects the stability of the …
Persistent link: https://www.econbiz.de/10012841372
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Multi-Layered Interbank Model For Assessing Systemic Risk
Montagna, Mattia - 2016
In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are material...
Persistent link: https://www.econbiz.de/10012984392
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Contagion in Financial Systems : A Bayesian Network Approach
Chong, Carsten - 2017
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and...
Persistent link: https://www.econbiz.de/10012968879
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Interactions in DSGE Models : The Boltzmann-Gibbs Machine and Social Networks Approach
Chang, Chia-Ling - 2011
While DSGE models have been widely used by central banks for policy analysis, they seem to have been ineffective in calibrating the models for anticipating financial crises. To bring DSGE models closer to real situations, some of researchers have revised the traditional DSGE models. One of the...
Persistent link: https://www.econbiz.de/10013117433
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Risk Assessment based on the Analysis of the Impact of Contagion Flow
Edirisinghe, Chanaka; Gupta, Aparna; Roth, Wendy - 2021
This paper presents a new framework to model and calibrate the process of firm value evolution when an unanticipated exogenous event impacting one firm can contagiously affect other firms. The nature of propagation of such contagion is determined by the underlying connections between firms,...
Persistent link: https://www.econbiz.de/10013227802
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Stability of the Interbank Money Market in Times of Downturn and Trust Crisis : The Intervening Role of Blockchain
Alaeddini, Morteza; Madiès, Philippe; Dugdale, Julie; … - 2022
on market stability. We connect 413 heterogeneous banks in France that share liquidity through unsecured overnight loans … the banks’ failures and the banking system’s stability. This study shows that the use of blockchain to restore trust in … the market helps to increase financial stability by delaying the cascade of failures. This delay would be a golden …
Persistent link: https://www.econbiz.de/10013294236
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Financial Contagion with Spillover Effects : A Multiplex Network Approach
Peralta, Gustavo; Crisóstomo, Ricardo - 2021
This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting from collateralized and uncollateralized transactions....
Persistent link: https://www.econbiz.de/10013248856