Book Chapter Details
Mandatory Fields
James P. Gleeson, T.R. Hurd, Sergey Melnik, Adam Hackett
2012 October
Advances in Network Analysis and its Applications
Systemic Risk in Banking Networks Without Monte Carlo Simulation
Springer
Berlin
Published
1
Optional Fields
sytemic risk banking networks contagion threshold models
An analytical approach to calculating the expected size of contagion events in
models of banking networks is presented. The method is applicable to networks with arbitrary degree distributions, permits cascades to be initiated by the default of one or more banks, and includes liquidity risk effects. Theoretical results are validated by comparison with Monte Carlo simulations, and may be used to assess the stability of a given banking network topology.
ISBN 978-3-642-30903-8
27
56
10.1007/978-3-642-30904-5
Grant Details
SFI; IRCSET