COMPLEX NETWORK FOR A CRISIS CONTAGION ON AN INTERBANK SYSTEM

Mariano Tirado ()
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Mariano Tirado: Departamento de Física Fundamental, Universidad Nacional de Educación a Distancia, C/Senda del Rey 9, E-28040 Madrid, Spain

International Journal of Modern Physics C (IJMPC), 2012, vol. 23, issue 09, 1-20

Abstract: The main focus of this research is the contagion of a financial crisis on an interbank debt network. In order to simulate the crisis propagation a weighted community complex network based on growth strategy has been created. The contagion is described by a new way of disease propagation perspective based on the concept of a financial virus. The model reproduces the existence of TBTF banks and shows the impact that an initial TBTF bank crash produces in the interbank network depending on the magnitude of the initial crash and on the resistance that the network offers against the contagion propagation.

Keywords: Complex networks; interbank network; systemic risk; contagion; 64.60.aq; 89.20.-a; 89.65.Gh; 89.65.-s; 89.75.Fb (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0129183112500581

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