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

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Kley O., Klüppelberg C., Reichel L.

Banach Center Publications

2015

tom 104

nr 1

133-149

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.

Ograniczanie wyników

1 Banach Center Publications

1 Kley O.

1 Klüppelberg C.

1 Reichel L.

1 2015

Wyniki wyszukiwania

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