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

Oliver Kley, Claudia Klüppelberg, and Lukas Reichel. "Systemic risk through contagion in a core-periphery structured banking network." Banach Center Publications 104.1 (2015): 133-149. <http://eudml.org/doc/282377>.

@article{OliverKley2015,
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 result. We state properties which arise from such a structure, and examine the effect of asymmetry on several risk management issues and the possibility of contagion.},
author = {Oliver Kley, Claudia Klüppelberg, Lukas Reichel},
journal = {Banach Center Publications},
keywords = {banking network; systemic risk: contagion; Ornstein-Uhlenbeck process},
language = {eng},
number = {1},
pages = {133-149},
title = {Systemic risk through contagion in a core-periphery structured banking network},
url = {http://eudml.org/doc/282377},
volume = {104},
year = {2015},
}

TY - JOUR
AU - Oliver Kley
AU - Claudia Klüppelberg
AU - Lukas Reichel
TI - Systemic risk through contagion in a core-periphery structured banking network
JO - Banach Center Publications
PY - 2015
VL - 104
IS - 1
SP - 133
EP - 149
AB - 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 result. We state properties which arise from such a structure, and examine the effect of asymmetry on several risk management issues and the possibility of contagion.
LA - eng
KW - banking network; systemic risk: contagion; Ornstein-Uhlenbeck process
UR - http://eudml.org/doc/282377
ER -