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Document type:
Buchbeitrag 
Author(s):
Kley, O., Klüppelberg, C., and Reichel, L. 
Title:
Systemic risk through contagion in a core-periphery structured banking network 
Abstract:
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a symmetric model. The components of a vector Ornstein-Uhlenbeck process living on the nodes of the network describe the financial robustnesses of the agents. For this system, we prove a LLN for growing network size leading to a propagation of chao...    »
 
Keywords:
core-periphery bank model, financial contagion, inhomogeneous graph, interacting particles, systemic risk 
Book title:
A. Palczewski and L. Stettner: Advances in Mathematics of Finance 
Volume:
104 
Publisher:
Banach Center Publications 
Publisher address:
Warschau, Polen 
Year:
2015 
Year / month:
2015-06 
Pages:
133-149 
Print-ISBN:
978-83-86806-27-0 
Language:
en 
Format:
Text