Systemic Interbank Network Risks in Russia
classification
⚛️ physics.soc-ph
q-fin.RM
keywords
interbankmarketmodelnetworksrisksrussianaccountarguments
read the original 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.
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