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dc.contributor.authorMontagna, Mattia
dc.contributor.authorLux, Thomas
dc.identifier.citationMattia Montagna & Thomas Lux (2017) Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information, Quantitative Finance, 17:1, 101-120ca_CA
dc.description.abstractOne lesson of the financial crisis erupting in 2008 has been that domino effects constitute a serious threat to the stability of the financial sector, i.e. the failure of one node in the interbank network might entail the danger of contagion to large parts of the entire system. How important this effect is, depends on the exact topology of the network on which the supervisory authorities have typically very incomplete knowledge. In order to explore the extent of contagion effects and to analyse the effectiveness of macroprudential measures to contain such effects, a reconstruction of the quantitative features of the empirical network would be needed. We propose a probabilistic approach to such a reconstruction: we propose to combine some important known quantities (like the size of the banks) with a realistic stochastic representation of the remaining structural elements. Our approach allows us to evaluate relevant measures for the contagion risk after default of one unit (i.e. the number of expected subsequent defaults, or their probabilities). For some quantities we are able to derive closed form solutions, others can be obtained via computational mean-field approximations.ca_CA
dc.description.sponsorShipTheresearchreportedinthispaperispartofaresearchinitiative launched by the Leibniz Community. It has been completed to a large part during a visit of the first author at the research group of the Banco de España at University Jaume I, Castel- lon. Helpful comments from the audience of various seminars and workshop presentations as well as stimulating discussions with Simone Alfarano are gratefully acknowledged. We are also grateful for the stimulating comments by two anonymous reviewers. The content of this paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not nec- essarily reflect those of the ECB.ca_CA
dc.format.extent21 p.ca_CA
dc.publisherTaylor & Francisca_CA
dc.relation.isPartOfQuantitative Finance, 2016, vol. 17, núm 1ca_CA
dc.rights© 2016 Informa UK Limited, trading as Taylor & Francis Groupca_CA
dc.subjectInterbank marketca_CA
dc.subjectNetwork modelsca_CA
dc.titleContagion risk in the interbank market: a probabilistic approach to cope with incomplete structural informationca_CA

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