Systemic risk on different interbank network topologies

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 18, 2012, Pages 4331-4341

  Lenzu, Simone ^a   Tedeschi, Gabriele ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

Author keywords

Dynamic network; Heterogeneity; Interbank market; Network resilience

Indexed keywords

COMMERCE; FINANCE; TOPOLOGY;

DYNAMIC NETWORK; FINANCIAL INSTITUTION; FINANCIAL NETWORKS; HETEROGENEITY; INTERBANK MARKET; NETWORK RESILIENCE; NETWORK STRUCTURES; SCALE-FREE TOPOLOGIES;

NETWORK ARCHITECTURE;

EID: 84861840590     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.03.035     Document Type: Article

References (43)

1. S.M. Bartram, G.W. Brown, and J.E. Hund Estimating systemic risk in the international financial system Journal of Financial Economics 86 3 2007 835 869
2. D. Sornette, and S. Von der Becke Complexity clouds finance-risk models Nature 471 2011 166
3. F. Allen, A. Babus, E. Carletti, Financial connections and systemic risk, Economics Working Papers, 2010.
4. F. Schweitzer, G. Fagiolo, D. Sornette, F. Vega-Redondo, A. Vespignani, and D.R. White Economic networks: the new challenges Science 325 2009 422 424
5. D. Delli Gatti, C. Guilmi, E. Gaffeo, G. Giulioni, M. Gallegati, and A. Palestrini A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility Journal of Economic Behavior and Organization 56 4 2005 489 512
6. G. Iori, S. Jafarey, and F. Padilla Systemic risk on the interbank market Journal of Economic Behaviour and Organisation 61 4 2006 525 542
7. S. Battiston, D. Delli Gatti, M. Gallegati, B. Greenwald, and J.E. Stiglitz Credit chains and bankruptcy propagation in production networks Journal of Economic Dynamics and Control 31 6 2007 2061 2084
8. D. Diamond, and P. Dybvig Bank runs, deposit insurance and liquidity Journal of Political Economy 91 1983 401 419
9. C. Jacklin, and S. Bhattacharya Distinguishing panics and information-based bank runs: welfare and policy implications Journal of Political Economy 96 1988 568 592
10. T. Cowen, and R. Kroszner Scottish banking before 1845: a model for laissez faire? Journal of Money, Credit and Banking 21 1989 221 231
11. R.G. Donaldson Costly liquidation, interbank trade, bank runs and panics Journal of Financial Intermediation 2 1992 59 82
12. H.J. Edison, P. Luangaram, and M. Miller Asset bubbles, leverage and 'lifeboats': elements of the East Asian crisis Economic Journal 110 460 2000 309 334
13. F. Allen, and D. Gale Bubbles and crises Economic Journal 110 460 2000 236 255
14. S. Thurner, R. Hanel, and S. Pichler Risk trading, network topology and banking regulation Quantitative Finance 3 2003 306 319
15. J. Lorenz, and S. Battiston Systemic risk in a network fragility model analyzed with probability density evolution of persistent random walks Networks and Heterogeneous Media 3 2 2008
16. S. Battiston, D. DelliGatti, M. Gallegati, B.C. Greenwald, J.E. Stiglitz, Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk, NBER Working Papers 15611, National Bureau of Economic Research, Inc., 2009, URL http://ideas.repec.org/p/nbr/nberwo/15611.html.
17. M.K. Brunnermeier Deciphering the liquidity and credit crunch 2007-2008 Journal of Economic Perspectives 23 1 2009 77 100 Winter 2009
18. M.K. Brunnermeier, and L.H. Pedersen Market liquidity and funding liquidity Review of Financial Studies 22 6 2009 2201 2238
19. G.B. Gorton, Information, liquidity, and the (ongoing) panic of 2007, NBER Working Paper No. 14649, 2009.
20. E. Nier, J. Yang, T. Yorulmazer, A. Alentorn, Network models and financial stability, Bank of England working paper, no. 346, 2008.
21. F. Allen, D. Gale, Systemic risk and regulation, NBER in a Volume on the Risks of Financial Institutions Edited by M. Carey and R. Stulz, 2005.
22. F. Castiglionesi, N. Navarro, Optimal fragile financial networks, Discussion Paper 2007-100, Tilburg University, Center for Economic Research, 2007.
23. A.L. Barabàsi, and R. Albert Emergence of scaling in random networks Science 286 1999 509 512
24. G. Tedeschi, G. Iori, and M. Gallegati Herding effects in order driven markets: The rise and fall of gurus Journal of Economic Behavior & Organization 81 1 2012 82 96 10.1016/j.jebo.2011.09.006
25. L.R. Ford JR., and D.R. Fulkerson Maximal flow through a network Canadian Journal of Mathematics 8 1956 399 404
26. L.R. Ford JR., and D.R. Fulkerson Flows in Networks 1962 Princeton University Press Princeton, NJ
27. D. Humphrey Payments finality and risk of settlement failure A. Saunders, L. White, Technology and the Regulation of Financial Markets: Securities, Futures and Banking 1986 Lexington Books Lexington, MA 97 120
28. P. Angelini, G. Maresca, and D. Russo Systemic risk in the netting system Journal of Banking & Finance 20 5 1996 853 868
29. C. Furfine Interbank exposures: quantifying the risk of contagion Journal of Money, Credit, and Banking 35 1 2003 111 128
30. C. Upper, A. Worms, Estimating bilateral exposures in the German interbank market: is there a danger of contagion? Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre. 2002, URL http://ideas.repec.org/p/zbw/bubdp1/4174.html.
31. T. Domencich, and D. McFadden Urban Travel Demand: A Behavioral Analysis 1975 North-Holland Amsterdam
32. R. Caves Industrial organization and new findings on the turnover and mobility of firms Journal of Economic Literature 36 1998 1974 1982
33. E. Bartelsman, and S. Scarpetta Comparative analysis of firm demographics and survival: evidence from micro-level sources in OECD countries Industrial and Corporate Change 14 2005 365 391
34. A.V. Goltsev, S.N. Dorogovtsev, and J.F.F. Mendes Critical phenomena in networks Physical Review E 67 2003 026123
35. A. Clauset, C.R. Shalizi, and M.E.J. Newman Power-law distributions in empirical data SIAM Review 51 4 2009 661 703 http://arxiv.org/abs/0706.1062v2
36. n 0 03-10-055, 2003 cond-mat/0309582.
37. G. Iori, G. De Masi, O.V. Precup, G. Gabbi, and G. Caldarelli A network analysis of the Italian overnight money market Journal of Economic Dynamics & Control 32 2008 259 278
38. A.V. Bannerjee A simple model of herd behavior Quarterly Journal of Economics 107 1992 797 817
39. A.V. Bannerjee The economics of rumors Review of Economic Studies 60 1993
40. R. Albert, H. Jeong, and A. Barabási Attack and error tolerance of complex networks Nature 406 2000 378 382
41. P. Alessandrini, A. Presbitero, and A. Zazzaro Banks, distances and firms' financing constraints Review of Finance 13 2009 261 307 10.1093/rof/rfn010
42. S. Agarwal, and R. Hauswald Distance and private information in lending Review of Financial Studies 23 7 2010 2757 2788 10.1093/rfs/hhq001
43. n 0 11-09-043 at, 2011 http://www.santafe.edu/research/working-papers/year/2011/.