We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets better than a symmetric model. The components of a vector Ornstein-Uhlenbeck process living on the nodes of the network describe the financial robustnesses of the agents. For this system, we prove a LLN for growing network size leading to a propagation of chaos result. We state properties which arise from such a structure, and examine the effect of asymmetry on several risk management issues and the possibility of contagion.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-7,
author = {Oliver Kley and Claudia Kl\"uppelberg and Lukas Reichel},
title = {Systemic risk through contagion in a core-periphery structured banking network},
journal = {Banach Center Publications},
volume = {104},
year = {2015},
pages = {133-149},
zbl = {1321.60211},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-7}
}
Oliver Kley; Claudia Klüppelberg; Lukas Reichel. Systemic risk through contagion in a core-periphery structured banking network. Banach Center Publications, Tome 104 (2015) pp. 133-149. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-7/