2014/09/03 by A. V. Leonidov, Leonidov, A. V., Evgeny Rumyantsev +1
Economics, Econometrics and Finance · #Banking stability, regulation, efficiency #Complex Systems and Time Series Analysis #Credit Risk and Financial Regulations #FOS: Economics and business #FOS: Physical sciences #Physics and Society (physics.soc-ph) #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.1409.1071
openalex publication_date 2014/09/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-tie structure reflecting functionality of the corresponding nodes (borrowers, lenders, borrowers and lenders simultaneously), degree distributions and disassortativity of the interbank network under consideration based on empirical data is developed. The characteristics of contagion-related systemic risk calculated with this model are shown to be in agreement with those of explicit stress tests.