Showing 1 - 5 of 5
We propose a framework for testing the possibility of large cascades in financial networks. This framework accommodates a variety of specifications for the probabilities of emergence of 'contagious links', where a contagious link leads to the default of a bank following the default of its...
Persistent link: https://www.econbiz.de/10013031974
Persistent link: https://www.econbiz.de/10013198677
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We prove that this problem is, generically, NP-hard....
Persistent link: https://www.econbiz.de/10012825191
This paper identifies three questions concerning the management of risk networks with a central branch, which may be solved using the extensive machinery available for one-dimensional risk models. First, we propose a criterion for judging whether a subsidiary is viable by its readiness to pay...
Persistent link: https://www.econbiz.de/10012986251
This paper analyzes the topology of the network of common asset holdings, where nodes represent managed portfolios and edge weights capture the impact of liquidations. We consider the degree centrality as the degree in the subnetwork of weak links, where weak links are those that lead to...
Persistent link: https://www.econbiz.de/10012937205