The preset work aims at giving insights about howthe theory behind the study of complex networks can be profitablyused to analyse the increasing complexity characterizinga wide number of current financial frameworks. In particularwe exploit some well known approaches developed within thesetting of the graph theory, such as, e.g., the Erd˝os and Rénymodel, and the Barab´asi-Albert model, as well as producingan analysis based on the evolving network theory. Numericalsimulations are performed to study the spread of financial peakevents, as in the case of the default of a single bank belonging toa net of interconnected monetary institutions, showing how theknowledge about the underlying graph theory can be effectivelyused to withstand a financial default contagion.

Default Contagion in Financial Networks

DI PERSIO, Luca;BENAZZOLI, Chiara
2016-01-01

Abstract

The preset work aims at giving insights about howthe theory behind the study of complex networks can be profitablyused to analyse the increasing complexity characterizinga wide number of current financial frameworks. In particularwe exploit some well known approaches developed within thesetting of the graph theory, such as, e.g., the Erd˝os and Rénymodel, and the Barab´asi-Albert model, as well as producingan analysis based on the evolving network theory. Numericalsimulations are performed to study the spread of financial peakevents, as in the case of the default of a single bank belonging toa net of interconnected monetary institutions, showing how theknowledge about the underlying graph theory can be effectivelyused to withstand a financial default contagion.
Financial networks, default spread, graph theory, random graphs
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/936120
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