Why do vulnerability cycles matter in financial networks?

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• 作者：Thiago Christiano Silva^a ; ^b ; ^c ; ^{thiago.silva@bcb.gov.br} ; Benjamin Miranda Tabak^c ; ^{benjaminm.tabak@gmail.com} ; Solange Maria Guerra^a ; ^{solange.guerra@bcb.gov.br}
• 关键词：Networks ; Systemic risk ; DebtRank ; Contagion ; Financial markets
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：592-606
• 全文大小：596 K
• 卷排序：471

文摘

We compare different systemic risk formulations of the DebtRank (systemic risk) model We find determinants that explain divergences on the different models. The network cyclicality is an important determinant. The average vulnerability of banks in the network is another crucial determinant. We validate our claims on artificial and real-world financial networks.