Systemic risk, maximum entropy and interbank contagion

被引：3
|
作者：
Andrecut, M.
机构：
[1] Calgary, T3G 5Y8, AB
来源：
INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 2016年 / 27卷 / 12期
关键词：
Systemic risk; interbank contagion; maximum entropy; EXPOSURES;
D O I：
10.1142/S0129183116501485
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy (ME) method. The ME method severely underestimates the risk of interbank contagion by assuming a fully connected network, while in reality the structure of the interbank network is sparsely connected. Here, we formulate an algorithm for sparse network reconstruction, and we show numerically that it provides a more reliable estimation of the systemic risk.
引用
收藏
页数：14
相关论文
共 50 条
  • [41] An Optimizing Strategy Based on Resource Competing Coupling Model in Interbank Risk Contagion
    Chen, Kun
    Huang, Ning
    Wang, Chunlin
    2019 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT (IEEM), 2019, : 431 - 434
  • [42] Did the Founding of the Federal Reserve Affect the Vulnerability of the Interbank System to Contagion Risk?
    Carlson, Mark
    Wheelock, David C.
    JOURNAL OF MONEY CREDIT AND BANKING, 2018, 50 (08) : 1711 - 1750
  • [43] Credit Risk Contagion and Systemic Risk on Networks
    Dolfin, Marina
    Knopoff, Damian
    Limosani, Michele
    Xibilia, Maria Gabriella
    MATHEMATICS, 2019, 7 (08)
  • [44] The network structure and systemic risk in the Japanese interbank market
    Kanno, Masayasu
    JAPAN AND THE WORLD ECONOMY, 2015, 36 : 102 - 112
  • [45] Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
    Montagna, Mattia
    Lux, Thomas
    QUANTITATIVE FINANCE, 2017, 17 (01) : 101 - 120
  • [46] From governance contagion to risk contagion: research on systemic risk contagion from the perspective of governance externality
    Jia, Kaiwei
    Yin, Longhe
    FRONTIERS IN PHYSICS, 2024, 12
  • [47] COMPLEX NETWORK FOR A CRISIS CONTAGION ON AN INTERBANK SYSTEM
    Tirado, Mariano
    INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2012, 23 (09):
  • [48] Bank capital, interbank contagion, and bailout policy
    Tian, Suhua
    Yang, Yunhong
    Zhang, Gaiyan
    JOURNAL OF BANKING & FINANCE, 2013, 37 (08) : 2765 - 2778
  • [49] A discrete dynamics approach to interbank financial contagion
    Leventides, John
    Poulios, Costas
    Camouzis, Elias
    IMA JOURNAL OF MATHEMATICAL CONTROL AND INFORMATION, 2022, 39 (02) : 409 - 442
  • [50] Control of Interbank Contagion Under Partial Information
    Amini, Hamed
    Minca, Andreea
    Sulem, Agnes
    SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2015, 6 (01): : 1195 - 1219
12345