Default Cascades in Complex Networks: Topology and Systemic Risk

被引:110
作者
Roukny, Tarik [1 ,2 ]
Bersini, Hugues [1 ]
Pirotte, Hugues [2 ,3 ]
Caldarelli, Guido [4 ,5 ]
Battiston, Stefano [6 ]
机构
[1] ULB, IRIDIA, Brussels, Belgium
[2] ULB, SBS EM Ctr E Bernheim, Brussels, Belgium
[3] BNP Paribas Fortis Chair, Brussels, Belgium
[4] IMT Inst Adv Studies, I-55100 Lucca, Italy
[5] London Inst Math Sci, London W1K 2XF, England
[6] Swiss Fed Inst Technol, Chair Syst Design, Zurich, Switzerland
基金
瑞士国家科学基金会;
关键词
D O I
10.1038/srep02759
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
The recent crisis has brought to the fore a crucial question that remains still open: what would be the optimal architecture of financial systems? We investigate the stability of several benchmark topologies in a simple default cascading dynamics in bank networks. We analyze the interplay of several crucial drivers, i.e., network topology, banks' capital ratios, market illiquidity, and random vs targeted shocks. We find that, in general, topology matters only - but substantially - when the market is illiquid. No single topology is always superior to others. In particular, scale-free networks can be both more robust and more fragile than homogeneous architectures. This finding has important policy implications. We also apply our methodology to a comprehensive dataset of an interbank market from 1999 to 2011.
引用
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页数:8
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