Title
Network models of financial contagion : a definition and literature review
Author
Faculty/Department
Faculty of Applied Economics
Publication type
report
Publication
Gent , [*]
Subject
Computer. Automation
Source (series)
Working paper / Universiteit Gent, Faculteit Economie en Bedrijfskunde; 11/730
Volume/pages
49 p.,
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
Determining the risk of contagious failures due to credit exposures between organisations is a problem that has been the subject of a growing body of literature in recent years. The network model has become a commonly used tool, applied to both theoretical and empirical studies of financial contagion and systemic risk. The purpose of this paper is twofold. First, we propose a definition of the Financial System Network which may be used to define the characteristics of any specific implementation of a network model in this field. Secondly, we evaluate the network models created by other researchers and compare and contrast various aspects of these implementations. We conclude by exploring avenues for future research in the area.
E-info
http://www.feb.ugent.be/nl/Ondz/wp/Papers/wp_11_730.pdf
Handle