THE THEORETICAL MODEL OF FINANCIAL INSTABILITY OF THE RUSSIAN INTERBANK CREDIT MARKET: NETWORK APPROACH
( Pp. 222-226)
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:
A theoretical model to analyze the mechanism of the emergence and spread of financial contagion that causes systemic risk of instability on the Russian interbank lending market with a different organizational structure of the banking system has been developed. The paper deals with an extended version of the model-based approach Nier et al. Unlike the case of the spread of the financial contagion in the banking system with a uniform distribution of banks, including the work of Nier et al., in the present study the proliferation contagion in banking systems with network structure has been analyzed, what reflects reality in the existing banking system much better
How to Cite:
Karaev A.K., Melnichuk M.V., (2015), THE THEORETICAL MODEL OF FINANCIAL INSTABILITY OF THE RUSSIAN INTERBANK CREDIT MARKET: NETWORK APPROACH. Business in Law, 5 => 222-226.
Reference list:
Karaev A.K., Mel nichuk M.V., (2013), Sovremennaya ekonomika: mul tidistsiplinarnyy podkhod. Biznes v zakone, 4: 93-97.
Karaev A.K., Mel nichuk M.V. Finansovaya neustoychivost i makroekonomicheskaya nestabil nost : agentno-orientirovannoe modelirovanie - M.: Izdatel sko-torgovaya korporatsiya quot;Dashkov i K0 quot;,2014. - 158s.
Leonidov A., Rumyantsev E. Russian interbank networks: main characteristics and stability with respect to contagion , arXiv: 1210.3814; http://xxx.lanl.gov/pdf/1210.3814.pdf.
Nier, E., Yang, J., Yorulmazer, T., Alentorn, A., Network Models and Financial Stability, Journal of Economic Dynamics and Control, 31 (2007), p. 2033-2060.
Arjen Aerts Interbank market stability// Econometrics. University of Amsterdam ,June 22, 2012.
V clav Hausenblas,Ivana Kubicov , Jitka Le anovsk Contagion Risk in the Czech Financial System:A Network Analysis and Simulation Approach / /Chech National Bank Working Paper Series N14,2012
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., A. Haldane, and S. Kapadia (2011). Complexity, concentration and contagion. Journal of Monetary Economics 58(5), 453.
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch, Koen Schoors. Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks arXiv:1409.3738v1 q-fin.GN 12 Sep 2014.
Andreev M.YU., Pil nik N.P., Pospelov I.G. (2009): Modelirovanie deyatel nosti sovremennoy rossiyskoy bankovskoy sistemy // Ekonomicheskiy zhurnal VSHE. tom 13, № 2. S. 143-171.
Barabasi A.-L., Albert R. (2002). Statistical Mechanics of Complex Networks // Reviews of Modern Physics. Vol. 74. P. 47-97.
Haldane, A. and R. May (2011). Systemic risk in banking ecosystems. Nature 469(7330), 351-355.
Karaev A.K., Mel nichuk M.V. Finansovaya neustoychivost i makroekonomicheskaya nestabil nost : agentno-orientirovannoe modelirovanie - M.: Izdatel sko-torgovaya korporatsiya quot;Dashkov i K0 quot;,2014. - 158s.
Leonidov A., Rumyantsev E. Russian interbank networks: main characteristics and stability with respect to contagion , arXiv: 1210.3814; http://xxx.lanl.gov/pdf/1210.3814.pdf.
Nier, E., Yang, J., Yorulmazer, T., Alentorn, A., Network Models and Financial Stability, Journal of Economic Dynamics and Control, 31 (2007), p. 2033-2060.
Arjen Aerts Interbank market stability// Econometrics. University of Amsterdam ,June 22, 2012.
V clav Hausenblas,Ivana Kubicov , Jitka Le anovsk Contagion Risk in the Czech Financial System:A Network Analysis and Simulation Approach / /Chech National Bank Working Paper Series N14,2012
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., A. Haldane, and S. Kapadia (2011). Complexity, concentration and contagion. Journal of Monetary Economics 58(5), 453.
Benjamin Vandermarliere, Alexei Karas, Jan Ryckebusch, Koen Schoors. Beyond the Power Law: Uncovering Stylized Facts in Interbank Networks arXiv:1409.3738v1 q-fin.GN 12 Sep 2014.
Andreev M.YU., Pil nik N.P., Pospelov I.G. (2009): Modelirovanie deyatel nosti sovremennoy rossiyskoy bankovskoy sistemy // Ekonomicheskiy zhurnal VSHE. tom 13, № 2. S. 143-171.
Barabasi A.-L., Albert R. (2002). Statistical Mechanics of Complex Networks // Reviews of Modern Physics. Vol. 74. P. 47-97.
Haldane, A. and R. May (2011). Systemic risk in banking ecosystems. Nature 469(7330), 351-355.
Keywords:
financial stability, financial contagion, the network approach.
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