Systemic Risk in Banking Networks Without Monte Carlo Simulation

James P. Gleeson, T. R. Hurd, Sergey Melnik, Adam Hackett

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

An analytical approach to calculating the expected size of contagion events in models of banking networks is presented. The method is applicable to networks with arbitrary degree distributions, permits cascades to be initiated by the default of one or more banks, and includes liquidity risk effects. Theoretical results are validated by comparison with Monte Carlo simulations, and may be used to assess the stability of a given banking network topology.

Original languageEnglish
Title of host publicationMathematics in Industry
PublisherSpringer Medizin
Pages27-56
Number of pages30
DOIs
Publication statusPublished - 2013

Publication series

NameMathematics in Industry
Volume18
ISSN (Print)1612-3956
ISSN (Electronic)2198-3283

Keywords

  • Banking Network
  • Debtor Bank
  • External Asset
  • Liquidity Risk
  • Shock Transmission

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