Default contagion risks in Russian interbank market

被引：9
|
作者：
Leonidov, A. V. [1 ,2 ,3 ,4 ]
Rumyantsev, E. L. [2 ,5 ]
机构：
[1] PN Lebedev Phys Inst, Dept Theoret Phys, Leninsky Prospect 53, Moscow 117924, Russia
[2] Moscow Inst Phys & Technol, Chair Discrete Math, Moscow, Russia
[3] New Econ Sch, Ctr Study New Media & Soc, Moscow, Russia
[4] Russian Endowment Educ & Sci, Lab Social Anal, Moscow, Russia
[5] Bank Russia, Dept Financial Stabil, Moscow, Russia
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 451卷
关键词：
Networks; Contagion; Systemic risk;
D O I：
10.1016/j.physa.2015.12.130
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-tie structure reflecting functionality of the corresponding nodes (borrowers, lenders, borrowers and lenders simultaneously), degree distributions and disassortativity of the interbank network under consideration based on empirical data is developed. The characteristics of contagion-related systemic risk calculated with this model are shown to be in agreement with those of explicit stress tests. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：36 / 48
页数：13
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