Systemic Interbank Network Risks in Russia
Abstract
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.
- Publication:
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arXiv e-prints
- Pub Date:
- October 2014
- DOI:
- 10.48550/arXiv.1410.0125
- arXiv:
- arXiv:1410.0125
- Bibcode:
- 2014arXiv1410.0125L
- Keywords:
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- Physics - Physics and Society;
- Quantitative Finance - Risk Management
- E-Print:
- Based on the talk given by A. Leonidov at the workshop "Random Graphs and Their Applications", Moscow, October 2013