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Credit Contagion in Financial Markets: A Network-Based Approach
We propose a network-based model of credit contagion and examine the e�ects of idiosyncratic and systemic shocks to individual banks and the banking system. The banking system is built as a network in which banks are connected to each other through the interbank market. The microstructure captures the relation between debtors and creditors, and the macroeconomic events capture the sensitivity of the banks' �nancial strenght to macroeconomic events, such as housing. We have demonstrated that while...
Download 2013 CORE Steinbacher, Mitja , Steinbacher, Matej , Steinbacher, Matjaz
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