Contagion in financial networks
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...[Show more]
|Collections||ANU Research Publications|
|Source:||Proceedings of the Royal Society of London Series A: Mathematical, Physical and Engineering Sciences|
|01_Gai_Contagion_in_financial_2010.pdf||661.73 kB||Adobe PDF||Request a copy|
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