Network models of financial systemic risk: A review

Fabio Caccioli, Paolo Barucca and Teruyoshi Kobayashi
Additional contact information
Fabio Caccioli: Department of Computer Science, University College London, UK
Paolo Barucca: Department of Banking and Finance, University of Zurich, Switzerland

No 1719, Discussion Papers from Graduate School of Economics, Kobe University

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.

Pages: 34 pages
Date: 2017-11
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2017/1719.pdf (application/pdf)

Related works:
Journal Article: Network models of financial systemic risk: a review (2018)
Working Paper: Network models of financial systemic risk: A review (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:koe:wpaper:1719

Access Statistics for this paper

More papers in Discussion Papers from Graduate School of Economics, Kobe University Contact information at EDIRC.
Bibliographic data for series maintained by Kimiaki Shirahama ( this e-mail address is bad, please contact ).