Souza, Sergio R.S.; Tabak, Benjamin M.; Silva, Thiago C.; … - In: Physica A: Statistical Mechanics and its Applications 431 (2015) C, pp. 140-151
This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the Brazilian financial system and include all active financial intermediaries. We show that the contagion chain has a short propagation path. We find that first-round contagion is...