FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2610631722> ?p ?o ?g. }

• W2610631722 abstract "The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges monetary exposures between them. Our model captures the strong degree of heterogeneity observed in empirical data and the parameters can easily be fitted to real data sets. One of our main results allows us to determine the impact of local shocks, where initially some banks default, to the entire system and the wider economy. Here the impact is measured by some index of total systemic importance of all eventually defaulted institutions. As a central application, we characterize resilient and non-resilient cases. In particular, for the prominent case where the network has a degree sequence without second moment, we show that a small number of initially defaulted banks can trigger a substantial default cascade. Our results complement and extend significantly earlier findings derived in the configuration model where the existence of a second moment of the degree distribution is assumed. As a second main contribution, paralleling regulatory discussions, we determine minimal capital requirements for financial institutions sufficient to make the network resilient to small shocks. An appealing feature of these capital requirements is that they can be determined locally by each institution without knowing the complete network structure as they basically only depend on the institution's exposures to its counterparties." @default.
• W2610631722 created "2017-05-12" @default.
• W2610631722 creator A5008841359 @default.
• W2610631722 creator A5062413802 @default.
• W2610631722 creator A5065755537 @default.
• W2610631722 creator A5075970062 @default.
• W2610631722 date "2016-10-29" @default.
• W2610631722 modified "2023-09-27" @default.
• W2610631722 title "Managing Default Contagion in Inhomogeneous Financial Networks" @default.
• W2610631722 cites W1489786432 @default.
• W2610631722 cites W1861828790 @default.
• W2610631722 cites W1912725461 @default.
• W2610631722 cites W1967465043 @default.
• W2610631722 cites W1984522981 @default.
• W2610631722 cites W1995245793 @default.
• W2610631722 cites W2017170340 @default.
• W2610631722 cites W2032161938 @default.
• W2610631722 cites W2034396538 @default.
• W2610631722 cites W2060599345 @default.
• W2610631722 cites W2112976607 @default.
• W2610631722 cites W2117899923 @default.
• W2610631722 cites W2138359578 @default.
• W2610631722 cites W2142673933 @default.
• W2610631722 cites W2148896022 @default.
• W2610631722 cites W2162337502 @default.
• W2610631722 cites W2280080951 @default.
• W2610631722 cites W2290127356 @default.
• W2610631722 cites W2461502110 @default.
• W2610631722 cites W2667583655 @default.
• W2610631722 cites W2987941956 @default.
• W2610631722 cites W2998770966 @default.
• W2610631722 cites W3121253705 @default.
• W2610631722 cites W3121344778 @default.
• W2610631722 cites W3121382465 @default.
• W2610631722 cites W3124498556 @default.
• W2610631722 cites W3125190426 @default.
• W2610631722 cites W3125405356 @default.
• W2610631722 cites W3125476236 @default.
• W2610631722 cites W3125538694 @default.
• W2610631722 cites W3126101873 @default.
• W2610631722 cites W348488691 @default.
• W2610631722 hasPublicationYear "2016" @default.
• W2610631722 type Work @default.
• W2610631722 sameAs 2610631722 @default.
• W2610631722 citedByCount "0" @default.
• W2610631722 crossrefType "posted-content" @default.
• W2610631722 hasAuthorship W2610631722A5008841359 @default.
• W2610631722 hasAuthorship W2610631722A5062413802 @default.
• W2610631722 hasAuthorship W2610631722A5065755537 @default.
• W2610631722 hasAuthorship W2610631722A5075970062 @default.
• W2610631722 hasConcept C10138342 @default.
• W2610631722 hasConcept C104317684 @default.
• W2610631722 hasConcept C106159729 @default.
• W2610631722 hasConcept C112313634 @default.
• W2610631722 hasConcept C127716648 @default.
• W2610631722 hasConcept C136764020 @default.
• W2610631722 hasConcept C139719470 @default.
• W2610631722 hasConcept C144133560 @default.
• W2610631722 hasConcept C144587487 @default.
• W2610631722 hasConcept C149782125 @default.
• W2610631722 hasConcept C162118730 @default.
• W2610631722 hasConcept C162324750 @default.
• W2610631722 hasConcept C166957645 @default.
• W2610631722 hasConcept C174106034 @default.
• W2610631722 hasConcept C175025494 @default.
• W2610631722 hasConcept C17744445 @default.
• W2610631722 hasConcept C185592680 @default.
• W2610631722 hasConcept C188082640 @default.
• W2610631722 hasConcept C199539241 @default.
• W2610631722 hasConcept C2776760741 @default.
• W2610631722 hasConcept C2777382242 @default.
• W2610631722 hasConcept C2778300220 @default.
• W2610631722 hasConcept C2779601481 @default.
• W2610631722 hasConcept C2780510313 @default.
• W2610631722 hasConcept C34947359 @default.
• W2610631722 hasConcept C41008148 @default.
• W2610631722 hasConcept C55493867 @default.
• W2610631722 hasConcept C556758197 @default.
• W2610631722 hasConcept C69637215 @default.
• W2610631722 hasConcept C83646750 @default.
• W2610631722 hasConcept C87414783 @default.
• W2610631722 hasConcept C95457728 @default.
• W2610631722 hasConceptScore W2610631722C10138342 @default.
• W2610631722 hasConceptScore W2610631722C104317684 @default.
• W2610631722 hasConceptScore W2610631722C106159729 @default.
• W2610631722 hasConceptScore W2610631722C112313634 @default.
• W2610631722 hasConceptScore W2610631722C127716648 @default.
• W2610631722 hasConceptScore W2610631722C136764020 @default.
• W2610631722 hasConceptScore W2610631722C139719470 @default.
• W2610631722 hasConceptScore W2610631722C144133560 @default.
• W2610631722 hasConceptScore W2610631722C144587487 @default.
• W2610631722 hasConceptScore W2610631722C149782125 @default.
• W2610631722 hasConceptScore W2610631722C162118730 @default.
• W2610631722 hasConceptScore W2610631722C162324750 @default.
• W2610631722 hasConceptScore W2610631722C166957645 @default.
• W2610631722 hasConceptScore W2610631722C174106034 @default.
• W2610631722 hasConceptScore W2610631722C175025494 @default.
• W2610631722 hasConceptScore W2610631722C17744445 @default.
• W2610631722 hasConceptScore W2610631722C185592680 @default.
• W2610631722 hasConceptScore W2610631722C188082640 @default.

• next