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

• Autorzy: Oliver Kley , Claudia Klüppelberg , Lukas Reichel
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 60K35: Interacting random processes; statistical mechanics type models; percolation theory
• 91B30: Risk theory, insurance
• 60H30: Applications of stochastic analysis (to PDE, etc.)

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 104
• Numer: 1
• Strony: 133-149

Daty

wydano

2015

Twórcy

autor

Oliver Kley

• Center for Mathematical Sciences, Technische Universität München, 85748 Garching, Boltzmannstrasse 3, Germany

autor

Claudia Klüppelberg

• Center for Mathematical Sciences, Technische Universität München, 85748 Garching, Boltzmannstrasse 3, Germany

autor

Lukas Reichel

• Institute of Insurance Economics, University of St. Gallen, 9000 St. Gallen, Tannenstrasse 19, Switzerland

Identyfikatory

DOI

10.4064/bc104-0-7