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Full-Text: http://hdl.handle.net/1885/39363
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Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
Article . 2010 . Peer-reviewed
License: Royal Society Data Sharing and Accessibility
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Research Papers in Economics
Preprint . 2010
Full-Text: http://www.bankofengland.co.uk/research/Documents/workingpapers/2010/wp383.pdf
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SSRN Electronic Journal
Article . 2010 . Peer-reviewed
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SSRN Electronic Journal
Article . 2007 . Peer-reviewed
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https://dx.doi.org/10.1098/rsp...
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Contagion in Financial Networks

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2007 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Gai, Prasanna; Kapadia, Sujit;

doi: 10.2139/ssrn.1577043 , 10.1098/rspa.2009.0410 , 10.2139/ssrn.967255

handle: 1885/39363

Contagion in Financial Networks

Abstract

This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure and asset market liquidity. Our findings suggest that financial systems exhibit arobust-yet-fragiletendency: while the probability of contagion may be low, the effects can be extremely widespread when problems occur. And we suggest why the resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its future robustness.

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Keywords

Finance Contagion, Mathematical models, Network models, Financial crisis, Financial crises, Keywords: Contagion, Liquidity risk, Systemic risk, Contagion; network models; systemic risk; liquidity risk; financial crises, jel: jel:D85, jel: jel:G01, jel: jel:G21

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 779
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 0.1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
779
Top 0.1%
Top 0.1%
Top 10%
Green