Systemic interbank network risks in Russia

zbMATH Open1414.91398arXiv1410.0125MaRDI QIDQ266701FDOQ266701

Authors: Andrei V. Leonidov, Evgenii L. Rumyantsev 

Publication date: 13 April 2016

Published in: Moscow Journal of Combinatorics and Number Theory (Search for Journal in Brave)

Abstract: Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given.

Full work available at URL: https://arxiv.org/abs/1410.0125

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zbMATH Keywords

contagioncredit riskinterbank marketsystemic risk

Mathematics Subject Classification ID

Credit risk (91G40)

Cited In (2)

• Interbank network model and distributed prediction strategy of systemic risk
• A simple model of bank bankruptcies

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