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 ...

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 - American Economic Association

Network connections diversify firms' risk exposures, but they also create channels through which shocks can spread by contagion.

How Likely is Contagion in Financial Networks?

We combine these measures to derive explicit bounds on the potential magnitude of network effects on contagion and loss amplification. Spillover ...

Contagion in financial networks | Proceedings of the Royal Society A

Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the probability of contagion may be low, the effects ...

How Likely Is Contagion in Financial Networks?

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system.

How Likely is Contagion in Financial Networks? - IDEAS/RePEc

We propose precise definitions of these concepts and analyze their magnitude. Contagion occurs when a shock to the assets of a single firm causes other firms to ...

How likely is contagion in financial networks?

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system.

Contagion in Financial Networks - American Economic Association

In particular, we show how to bound the expected total loss inflicted by simultaneous financial shocks, and how the network topology enters into this ...

How Likely is Contagion in Financial Networks? - IDEAS/RePEc

Abstract. Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system. We estimate ...

How Likely Is Contagion in Financial Networks? - ResearchGate

We combine these measures to derive explicit bounds on the potential magnitude of network effects on contagion and loss amplification. Spillover effects are ...

How likely is contagion in financial networks? - ORA

Interconnections among financial institutions create potential channels for contagion and amplification of shocks to the financial system.

Financial Networks and Contagion

Unfortunately, we show that any fair exchange of cross-holdings or assets involving the organization most at risk of failing makes that organization more likely ...

C Systemic risk, contagion and financial networks

The distribution of the number of bank defaults is generated with Monte Carlo simulation techniques using data relative to the network of banks' common.

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 potential impact of ...

Empirical Network Contagion for U.S. Financial Institutions

We construct an empirical measure of expected network spillovers that arise through default cascades for the U.S. financial system for the period 2002-16.

Statistical Validation of Contagion Centrality in Financial Networks

While many studies focus on the direct collapse of a firm (fundamental default) resulting from an external shock, they often overlook the ...

Contagion in Financial Networks

In what follows, the joint distribution of in- and out-degree governs the potential for the spread of shocks through the network. A feature of our analysis is ...

Contagion in Financial Networks: A Threat Index - PubsOnLine

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

Contagion on Financial Networks: An Introduction - arXiv

(11) d(i) is the degree of node i which is possible since every node in the network G has at least one degree. 3.3 Financial Contagion as a ...