Systemic Interbank Network Risks in Russia

A. V. Leonidov and Evgeny Rumyantsev

Papers from arXiv.org

Abstract: Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given.

Date: 2014-10
New Economics Papers: this item is included in nep-ban, nep-cis and nep-tra
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1410.0125

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