Loss distribution of systemic defaults in different interbank networks

Shouwei Li and Jianmin He ()
Additional contact information
Shouwei Li: School of Economics and Management, Southeast University, Nanjing, 211189, China
Jianmin He: School of Economics and Management, Southeast University, Nanjing, 211189, China

International Journal of Modern Physics C (IJMPC), 2016, vol. 27, issue 10, 1-9

Abstract: We analyze the impact of the network structure, the default probability and the loss given default (LGD) on the loss distribution of systemic defaults in the interbank market, where network structures analyzed include random networks, small-world networks and scale-free networks. We find that the network structure has little effect on the shape of the loss distribution, whereas the opposite is true to the default probability; the LGD changes the shape of the loss distribution significantly when default probabilities are high; the maximum of the possible loss is sensitive to the network structure and the LGD.

Keywords: Loss distribution; network structure; default probability; loss given default (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0129183116501217
Access to full text is restricted to subscribers

Related works:
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:wsi:ijmpcx:v:27:y:2016:i:10:n:s0129183116501217

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0129183116501217

Access Statistics for this article

International Journal of Modern Physics C (IJMPC) is currently edited by H. J. Herrmann

More articles in International Journal of Modern Physics C (IJMPC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().