Contagion in financial networks

被引：696

作者：

Gai, Prasanna ^{[1
,2
]}

Kapadia, Sujit ^{[1
]}

机构：

[1] Bank England, London EC2R 8AH, England

[2] Australian Natl Univ, Crawford Sch Econ & Govt, Canberra, ACT 0200, Australia

来源：

PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES | 2010年 / 466卷 / 2120期

关键词：

contagion; network models; systemic risk; liquidity risk; financial crises; SYSTEMIC RISK; SIMPLE-MODEL; LIQUIDITY; PERCOLATION; EXPOSURES; TOPOLOGY;

D O I：

10.1098/rspa.2009.0410

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

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 resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness.

引用

页码：2401 / 2423

页数：23

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