Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given.
- Pub Date:
- October 2014
- Physics - Physics and Society;
- Quantitative Finance - Risk Management
- Based on the talk given by A. Leonidov at the workshop "Random Graphs and Their Applications", Moscow, October 2013