Systemic Interbank Network Risks in Russia
Physics and Society
2014-10-02 v1 Risk Management
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.
Cite
@article{arxiv.1410.0125,
title = {Systemic Interbank Network Risks in Russia},
author = {A. V. Leonidov and E. L. Rumyantsev},
journal= {arXiv preprint arXiv:1410.0125},
year = {2014}
}
Comments
Based on the talk given by A. Leonidov at the workshop "Random Graphs and Their Applications", Moscow, October 2013