When does low interconnectivity cause systemic risk?

DOI10.1080/14697688.2015.1043331MaRDI QIDQ4683110zbMATH OpenOpenAlexFDO

Authors Burak Saltoglu, Taylan Yenilmez

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2015.1043331

zbMATH Keywords

applied financecomplexity in financefinancial distress

Mathematics Subject Classification ID

Small world graphs, complex networks (graph-theoretic aspects) (05C82) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Recommendations

• Network models and financial stability
• Systemic risk in interbanking networks
• Systemic illiquidity in the interbank network
• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Diversification and systemic risk in the banking system

Cites work

• A network analysis of the Italian overnight money market
• Completeness, interconnectedness and distribution of interbank exposures -- a parameterized analysis of the stability of financial networks
• Diffusion and cascading behavior in random networks
• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Network models and financial stability
• Network topology of the interbank market

Cited in

(1)

• Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness

Describes a project that uses

Uses Software

• Pajek

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