Financial contagion in large, inhomogeneous stochastic interbank networks

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dc.contributor.author Walters, Nadine Mari
dc.contributor.author Van Zyl, A.J. (Gusti)
dc.contributor.author Beyers, Frederik Johannes Conradie
dc.date.accessioned 2019-06-24T12:26:44Z
dc.date.issued 2019-03
dc.description.abstract We consider the fraction of nodes that default in large, stochastic, inhomogeneous financial networks following an initial shock to the system. Results for deterministic sequences of networks are generalized to stochastic networks to account for interbank lending relationships that change frequently. A general class of inhomogeneous stochastic networks is proposed for use in systemic risk research, and we illustrate how results that hold for Erdős–Rényi networks can be generalized to the proposed network class. The network structure of a system is determined by interbank lending behavior which may vary according to the relative sizes of the banks. We then use the results of the paper to illustrate how network structure influences the systemic risk inherent in large banking systems. en_ZA
dc.description.department Insurance and Actuarial Science en_ZA
dc.description.department Mathematics and Applied Mathematics en_ZA
dc.description.embargo 2020-03-04
dc.description.librarian hj2019 en_ZA
dc.description.sponsorship The National Research Foundation (NRF) and the ABSA chair in Actuarial Science. en_ZA
dc.description.uri https://www.worldscientific.com/worldscinet/acs en_ZA
dc.identifier.citation Walters, N., Van Zyl, G. & Beyers, C. 2019, 'Financial contagion in large, inhomogeneous stochastic interbank networks', Advances in Complex Systems, vol. 22, no. 2, art. 1950002. en_ZA
dc.identifier.issn 0219-5259 (print)
dc.identifier.issn 1793-6802 (online)
dc.identifier.other 10.1142/S0219525919500024
dc.identifier.uri http://hdl.handle.net/2263/70285
dc.language.iso en en_ZA
dc.publisher World Scientific Publishing en_ZA
dc.rights © 2019 World Scientific Publishing Company en_ZA
dc.subject Overnight money market en_ZA
dc.subject Systemic risk en_ZA
dc.subject Stability en_ZA
dc.subject Complexity en_ZA
dc.subject Inhomogeneous networks en_ZA
dc.subject Core–periphery structures en_ZA
dc.subject Banking networks en_ZA
dc.subject Large networks en_ZA
dc.title Financial contagion in large, inhomogeneous stochastic interbank networks en_ZA
dc.type Postprint Article en_ZA


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