Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information

DOI10.1080/14697688.2016.1178855zbMath1402.91855OpenAlexW2113715705MaRDI QIDQ4555062

Mattia Montagna, Thomas C. H. Lux

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/102271

zbMATH Keywords

contagionnetwork modelsinterbank market

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40)

Related Items (6)

Reconstruction methods for networks: the case of economic and financial systems ⋮ Bank multiplex networks and systemic risk ⋮ The impact of firm heterogeneity and awareness in modeling risk propagation on multiplex networks ⋮ TRADE CREDIT NETWORK WITH A GUARANTEE MECHANISM AND RISK CONTAGION ⋮ Network topology and interbank credit risk ⋮ Leveraging the network: a stress-test framework based on debtrank

Cites Work

• A network analysis of the Italian overnight money market
• Network models and financial stability
• Selection, Growth, and the Size Distribution of Firms
• Contagion in financial networks
• Network topology of the interbank market
• Filling in the blanks: network structure and interbank contagion

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