英文标题：
《Propagation of Systemic Risk in Interbank Networks》
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作者：
Vanessa Hoffmann de Quadros, Juan Carlos Gonz\\\'alez-Avella and Jos\\\'e
Roberto Iglesias
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最新提交年份：
2014
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英文摘要：
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters for the creation of the network, several interbank networks are built, in which the concentrations of debts and credits are obtained from links distributions during the creation networks process. Three main types of interbank network are analyzed for their resilience to contagion: i) concentration of debts is greater than concentration of credits, ii) concentration of credits is greater than concentration of debts and iii) concentrations of debts and credits are similar. We also tested the effect of a variation in connectivity in conjunction with variation in concentration of links. The results suggest that more connected networks with high concentration of credits (featuring nodes that are large creditors of the system) present greater resilience to contagion when compared with the others networks analyzed. Evaluating some topological indices of systemic risk suggested by the literature we have verified the ability of these indices to explain the impact on the system caused by the failure of a node. There is a clear positive correlation between the topological indices and the magnitude of losses in the case of networks with high concentration of debts. This correlation is smaller for more resilient networks.
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中文摘要：
本文利用一个模型，从网络连通性信息定义银行资产负债表，探讨了链接分布接近幂律的网络中金融传染的特征。通过改变网络创建的参数，构建了多个银行间网络，其中债务和信贷的集中度通过网络创建过程中的链路分布获得。分析了三种主要类型的银行间网络的抗传染能力：i）债务集中度大于信贷集中度，ii）信贷集中度大于债务集中度，以及iii）债务和信贷集中度相似。我们还测试了连接变化与链路集中度变化的影响。结果表明，与所分析的其他网络相比，信贷集中度较高的连接网络（以系统中的大债权人节点为特征）具有更强的抗传染能力。通过评估文献中提出的一些系统风险拓扑指数，我们已经验证了这些指数能够解释节点故障对系统造成的影响。在债务高度集中的网络中，拓扑指数与损失大小之间存在明显的正相关关系。对于更具弹性的网络，这种相关性较校
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics 物理学
二级分类：Adaptation and Self-Organizing Systems 自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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