Contagion in financial networks-Reference-Cited by-同舟云学术

Contagion in financial networks

Published:2010-03-24 Issue:2120 Volume:466 Page:2401-2423
ISSN:1364-5021
Container-title:Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
language:en
Short-container-title:Proc. R. Soc. A.

Author:

Gai Prasanna¹²,Kapadia Sujit²

Affiliation:

1. Crawford School of Economics and Government, Australian National University, Canberra, ACT 0200, Australia

2. Bank of England, Threadneedle Street, London EC2R 8AH, UK

Abstract

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness.

Publisher

The Royal Society

Subject

General Physics and Astronomy,General Engineering,General Mathematics

Link

https://royalsocietypublishing.org/doi/pdf/10.1098/rspa.2009.0410

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1. Error and attack tolerance of complex networks

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