The construction and properties of assortative configuration graphs

DOI10.1007/978-1-4939-6969-2_11MaRDI QIDQ4604872zbMATHOpenAlexFDO

Authors T. R. Hurd

Publication date 6 March 2018

Published in Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.03084

zbMATH Keywords

skeletonsystemic riskLaplace methodassortativityconfiguration graphpercolation theorybanking networklocally tree-likelarge graph asymptoticsrandom graph simulation

Mathematics Subject Classification ID

Applications of graph theory (05C90) Random graphs (graph-theoretic aspects) (05C80) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Credit risk (91G40) Financial applications of other theories (91G80)

Abstract: In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk, this "skeleton" acts as the medium through which financial contagion is propagated. It has been observed in real networks that such counterparty relationships exhibit negative assortativity, meaning that a bank's counterparties are more likely to have unlike characteristics. This paper introduces and studies a general class of random graphs called the assortative configuration model, parameterized by an arbitrary node-type distribution P and edge-type distribution Q. The first main result is a law of large numbers that says the empirical edge-type distributions converge in probability to Q. The second main result is a formula for the large N asymptotic probability distribution of general graphical objects called "configurations". This formula exhibits a key property called "locally tree-like" that in simpler models is known to imply strong results of percolation theory on the size of large connected clusters. Thus this paper provides the essential foundations needed to prove rigorous percolation bounds and cascade mappings in assortative networks.

Recommendations

• Inhomogeneous financial networks and contagious links
• Financial contagion in a stochastic block model
• Systemic risk through contagion in a core-periphery structured banking network
• Construction of directed assortative configuration graphs

Cites work

• scientific article; zbMATH DE number 3117699 (Why is no real title available?)
• scientific article; zbMATH DE number 3150484 (Why is no real title available?)
• A critical point for random graphs with a given degree sequence
• A probabilistic proof of an asymptotic formula for the number of labelled regular graphs
• Construction of directed assortative configuration graphs
• Contagion! Systemic risk in financial networks
• Directed random graphs with given degree distributions
• Double cascade model of financial crises
• Random graphs.
• The probability that a random multigraph is simple

Cited in

(3)

• Brief synopsis of the scientific career of T. R. Hurd
• Construction of directed assortative configuration graphs
• Generating maximally disassortative graphs with given degree distribution

This page was built for publication: The construction and properties of assortative configuration graphs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4604872)