Contagion in Financial Networks

Contagion in Financial Networks - American Economic Association

Contagion in Financial Networks by Paul Glasserman and H. Peyton Young. Published in volume 54, issue 3, pages 779-831 of Journal of Economic Literature, ...

Contagion in financial networks | Proceedings of the Royal Society A

This paper models two key channels of contagion in financial systems by which default may spread from one institution to another.

Contagion in Financial Networks - American Economic Association

Without a full distribution, however, it is difficult to assess the inherent vulnerability of different network structures to financial contagion. Here, we ...

Contagion in Financial Networks*

A particularly important question is how network structure interacts with other potential sources of contagion. In the run-up to the crisis ...

How Likely is Contagion in Financial Networks?

We illustrate the results with data on the European banking system. Keywords: systemic risk, contagion, financial network. JEL: D85, G21. We ...

Contagion in Financial Networks: A Threat Index - jstor

4 For example, creditors agree to postpone unpaid debts, as within the network of firms described in Kiyotaki and Moore (1997).5 In the financial sector, this ...

Financial Networks and Contagion

We model contagions and cascades of failures among organizations linked through a network of financial interdependencies. We identify how the network propagates ...

How likely is contagion in financial networks? - ScienceDirect.com

We estimate the extent to which interconnections increase expected losses and defaults under a wide range of shock distributions.

Contagion in Financial Networks by Prasanna Gai, Sujit Kapadia

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and ...

[2402.08071] Contagion on Financial Networks: An Introduction - arXiv

This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 ...

Contagion in Financial Networks: A Threat Index - PubsOnLine

Abstract. This paper proposes to measure the spillover effects that cross liabilities generate on the magnitude of default in a system of ...

Contagion and tail risk in complex financial networks - ScienceDirect

We introduce new network-based contagion measures that incorporate copula and heavy-tailedness structures of the nodes' economic and financial variables.

Contagion on Financial Networks: An Introduction - arXiv

This mini-project models financial contagion – propagation of shocks (in time point) from any bank (a node) to another in a financial network.

Evolution of the Global Financial Network and Contagion

A novel multilayer network framework is applied to link debt and equity exposures across countries. ... The structure of the global financial ...

C Systemic risk, contagion and financial networks

Financial Stability Review, November 2015. 146. C. Systemic risk, contagion and financial networks. 168. This special feature proposes a methodology to measure ...

Capital and Contagion in Financial Networks

Keywords: Systemic risk; interbank market; contagion; network; feedback centrality. JEL Classification: C45; D85; G21; G01. 1 The views expressed in the article ...

Contagion! Systemic Risk in Financial Networks - SpringerLink

After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking ...

How likely is contagion in financial networks? - EconPapers - RePEc

By Paul Glasserman and H. Peyton Young; Abstract: Interconnections among financial institutions create potential channels for contagion and amplification of ...

Contagion in Financial Networks

We explore how contagion risk is influenced by aggregate and idiosyncratic shocks, changes in network structure, and asset market liq- uidity. Our findings ...

Distress and default contagion in financial networks - Veraart - 2020

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial networks.