The Dynamics of Interbank Networks

John Leventides (), Maria Livada () and Costas Poulios ()
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John Leventides: National and Kapodistrian University of Athens
Maria Livada: National and Kapodistrian University of Athens
Costas Poulios: National and Kapodistrian University of Athens

A chapter in Discrete Mathematics and Applications, 2020, pp 369-395 from Springer

Abstract: Abstract Given an interbank network (X, C, E 0), where X is the set of banks, C is the vector of capitals, and E 0 is the bilateral exposures matrix, the bankruptcy set U x for each x ∈ X is defined. The set U x contains all possible combinations of institutions whose failure would result in the default of the bank x. It turns out that the minimal elements of the sets U x, x ∈ X play a prominent role in the study of the problem of default contagion in an interbank market. Several aspects of this problem can be characterized in terms of the minimal elements of U x, x ∈ X, for example, the propagation of an initial shock through the network as well as the equilibrium points of the network.

Date: 2020
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DOI: 10.1007/978-3-030-55857-4_14

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