Kiel Working Papers, Kiel Institute for World Economics
No 1826:
Hubs and resilience: towards more realistic models of the interbank markets
Mattia Montagna and Thomas Lux
Abstract: This paper uses a toy financial system to study systemic
risk in scale-free interbank networks. Networks are produced according to a
fitness algorithm, combined with a representation of the balance sheets of
the banks. Our generating processes for interbank networks are designed in
a way to reproduce the frequently documented features of disassortative
behavior, power laws in the degree distributions and power laws in the
distribution of bank sizes. The results show the presence of a particular
shell structure affecting the spread of an endogenous shock
Keywords: Interbank market, contagion, networks, financial stability; (follow links to similar papers)
JEL-Codes: G21,; G01,; E42; (follow links to similar papers)
26 pages, February 2013
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