Caccioli, F;
Barucca, P;
Kobayashi, T;
Network models of financial systemic risk: A review.
Journal of Computational Social Science
, 1
(1)
pp. 81-114.
10.1007/s42001-017-0008-3.
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Abstract
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of attention has been paid to the understanding of the mechanisms that can lead to a breakdown of this network. This can happen when the existing financial links turn from being a means of risk diversification to channels for the propagation of risk across financial institutions. In this review article, we summarize recent developments in the modeling of financial systemic risk. We focus in particular on network approaches, such as models of default cascades due to bilateral exposures or to overlapping portfolios, and we also report on recent findings on the empirical structure of interbank networks. The current review provides a landscape of the newly arising interdisciplinary field lying at the intersection of several disciplines, such as network science, physics, engineering, economics, and ecology.
| Type: | Article |
|---|---|
| Title: | Network models of financial systemic risk: A review |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1007/s42001-017-0008-3 |
| Publisher version: | http://dx.doi.org/10.1007/s42001-017-0008-3 |
| Language: | English |
| Additional information: | Copyright information © The Author(s) 2017 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. |
| Keywords: | Financial networks, Systemic risk, Contagion, Clearing algorithm, Overlapping portfolio, Interbank markets |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10034710 |
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