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Titel:

Systemic risk through contagion in a core-periphery structured banking network

Dokumenttyp:
Buchbeitrag
Autor(en):
Kley, O., Klüppelberg, C., and Reichel, L.
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 chaos...     »
Stichworte:
core-periphery bank model, financial contagion, inhomogeneous graph, interacting particles, systemic risk
Buchtitel:
A. Palczewski and L. Stettner: Advances in Mathematics of Finance
Band / Teilband / Volume:
104
Verlag / Institution:
Banach Center Publications
Verlagsort:
Warschau, Polen
Jahr:
2015
Jahr / Monat:
2015-06
Seiten/Umfang:
133-149
Print-ISBN:
978-83-86806-27-0
Sprache:
en
WWW:
http://journals.impan.gov.pl/bc/Cont/bc104-0.html
Format:
Text
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