Systemic interbank network risks in Russia

MaRDI QIDQ266701zbMATH OpenFDO

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)

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

zbMATH Keywords

contagioncredit riskinterbank marketsystemic risk

Mathematics Subject Classification ID

Credit risk (91G40)

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.

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Cited in

(2)

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

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