NETWORK EFFECTS AND SYSTEMIC RISK IN THE BANKING SYSTEM
( Pp. 27-35)
More about authors
Karaev Alan K.
doktor tehnicheskih nauk, professor, glavnyy nauchnyy sotrudnik Departamenta obschestvennyh finansov
Financial University under the Government of the Russian Federation Melnichuk Marina V. doktor ekonomicheskih nauk, professor, rukovoditel Departamenta angliyskogo yazyka i professionalnoy podgotovki, professor Departamenta angliyskogo yazyka i professionalnoy podgotovki
Financial University under the Government of the Russian Federation
Moscow, Russian Federation
Financial University under the Government of the Russian Federation Melnichuk Marina V. doktor ekonomicheskih nauk, professor, rukovoditel Departamenta angliyskogo yazyka i professionalnoy podgotovki, professor Departamenta angliyskogo yazyka i professionalnoy podgotovki
Financial University under the Government of the Russian Federation
Moscow, Russian Federation
Abstract:
The paper, based on an extended version of the model Nier et al, analyzes the mechanism of propagation of the financial contagion that causes systemic risk of instability of the banking system with a different organizational structure. Unlike the case of the spread of the financial contagion in the banking system with a uniform distribution of banks according to the degree (graph Erdos-Renyi), which was considered in most studies, including the work of the Nier et al, in the present study analyzed the proliferation contagion in banking systems with network structure, which more close to the real banking system. In particular, in an analysis of banking systems with a modular structure (model based on graph Watts-Strogatz, with a high coefficient of clustering and a small average path length) and a non-uniform distribution of banks by (a model based on graph Barabashi-Albert, scale-free network with the power distribution of banks by degree). Both models take into account such factors network path length, clustering coefficient and a nonuniform distribution of nodes in the degree observed in real bank networks and are not generated in the homogeneous model Erdos-Renyi.
How to Cite:
Karaev A.K., Melnichuk M.V., (2016), NETWORK EFFECTS AND SYSTEMIC RISK IN THE BANKING SYSTEM. Business in Law, 4 => 27-35.
Reference list:
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Gai P., Haldane A., Kapadia S. (2011). Complexity, concentration and contagion. Journal of Monetary Economics 58(5), 453.
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Haldane A., May R. (2011). Systemic risk in banking ecosystems. Nature 469 (7330), 351-355.
Hausenblas V., Kubicova I., Lesanovska J. Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach // Chech National Bank Working Paper Series N14, 2012.
Leonidov A., Rumyantsev E. Russian interbank networks: main characteristics and stability with respect to contagion , (2012), arXiv: 1210.3814; http://xxx.lanl.gov/pdf/1210.3814.pdf.
May R., Arinaminpathy. Systemic risk: the dynamics of model banking system, // N J. R. Soc. Interface, (2010) Vol.7, pp.823-838.
Montagna M., Lux T. Hubs and resilience: towards more realistic models of the interbank markets // Kiel Working Paper, 1826, Kiel Institute for the World Economy, Kiel.
Montagna M., Lux T. (2012). Systemic risk in scale-free InterBank networks // Institute for the World Economy, Florence, 16/05/2012.
Nier E., Yang J., Yorulmazer T., Alentorn A. Network Models and Financial Stability, Journal of Economic Dynamics and Control, 31 (2007), p. 2033-2060.
Vandermarliere B., Karas A., Ryckebusch J., Schoors K. Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks arXiv:1409.3738v1 q-fin.GN 12 Sep 2014.
Karaev A.L., Mel nichuk M.V. Teoreticheskaya model finansovoy nestabil nosti rossiyskogo mezhbankovskogo kreditnogo rynka: setevoy podkhod. Biznes v zakone. Ekonomiko-yuridicheskiy zhurnal, №5, 2015: 222-226.
Allen F., Gale. Financial contagion , Journal of Political Economy, Vol. 108, pages 1-33.
Aerts A. Interbank market stability // Econometrics. University of Amsterdam, June 22, 2012.
Barabasi A.-L., Albert R. (2002). Statistical Mechanics of Complex Networks // Reviews of Modern Physics. Vol. 74. P. 47-97.
Eboli M. Systemic Risk in Financial Networks: a Graph-Theoretic Approach // Universita G. d Annunzio , Facolta di Economia. Pescara, Italy. 2007. 19 p.
Gai P., Haldane A., Kapadia S. (2011). Complexity, concentration and contagion. Journal of Monetary Economics 58(5), 453.
Gai P., Kapadia S. (2010). Contagion in financial networks. Proceedings of the Royal Society A: Mathematical, Physical and Engineering Science 466 (2120), 2401-2423.
Haldane A., May R. (2011). Systemic risk in banking ecosystems. Nature 469 (7330), 351-355.
Hausenblas V., Kubicova I., Lesanovska J. Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach // Chech National Bank Working Paper Series N14, 2012.
Leonidov A., Rumyantsev E. Russian interbank networks: main characteristics and stability with respect to contagion , (2012), arXiv: 1210.3814; http://xxx.lanl.gov/pdf/1210.3814.pdf.
May R., Arinaminpathy. Systemic risk: the dynamics of model banking system, // N J. R. Soc. Interface, (2010) Vol.7, pp.823-838.
Montagna M., Lux T. Hubs and resilience: towards more realistic models of the interbank markets // Kiel Working Paper, 1826, Kiel Institute for the World Economy, Kiel.
Montagna M., Lux T. (2012). Systemic risk in scale-free InterBank networks // Institute for the World Economy, Florence, 16/05/2012.
Nier E., Yang J., Yorulmazer T., Alentorn A. Network Models and Financial Stability, Journal of Economic Dynamics and Control, 31 (2007), p. 2033-2060.
Vandermarliere B., Karas A., Ryckebusch J., Schoors K. Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks arXiv:1409.3738v1 q-fin.GN 12 Sep 2014.
Keywords:
financial stability, financial contagion, the network approach.
