Systemic Interbank Network Risks in Russia
arXiv:1410.0125
Abstract
Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given.
Based on the talk given by A. Leonidov at the workshop "Random Graphs and Their Applications", Moscow, October 2013