A model of the topology of the bank -- firm credit network and its role as channel of contagion

DOI10.1016/J.JEDC.2016.03.002zbMath1401.91412OpenAlexW2202813897MaRDI QIDQ1656782

Thomas C. H. Lux

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10234/160449

zbMATH Keywords

contagioncredit networkinterbank network

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (9)

Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets ⋮ Agent based-stock flow consistent macroeconomics: towards a benchmark model ⋮ Systemic risk contagion in reconstructed financial credit network within banking and firm sectors on DebtRank based model ⋮ Intermediaries' substitutability and financial network resilience: a hyperstructure approach ⋮ Connectivity, centralisation and `robustness-yet-fragility' of interbank networks ⋮ TRADE CREDIT NETWORK WITH A GUARANTEE MECHANISM AND RISK CONTAGION ⋮ Multilayer overlaps and correlations in the bank-firm credit network of Spain ⋮ Double-layer network model of bank-enterprise counterparty credit risk contagion ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

Cites Work

• Financial power laws: empirical evidence, models, and mechanisms
• A network analysis of the Italian overnight money market
• Network models and financial stability
• Assessing interbank contagion using simulated networks
• ILLIQUIDITY COMPONENT OF CREDIT RISK - THE 2015 LAWRENCE R. KLEIN LECTURE
• Laplace transforms, Mellin transforms and mixed poisson processes
• Mixed Poisson Distributions
• Network topology of the interbank market

This page was built for publication: A model of the topology of the bank -- firm credit network and its role as channel of contagion