Contagion in financial networks

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dc.contributor.author Gai, Prasanna en
dc.contributor.author Kapadia, S en
dc.date.accessioned 2012-03-11T23:02:58Z en
dc.date.issued 2010 en
dc.identifier.citation Proceedings of the Royal Society A. Mathematical, Physical and Engineering Sciences 466(2120):2401-2423 2010 en
dc.identifier.issn 1364-5021 en
dc.identifier.uri http://hdl.handle.net/2292/13751 en
dc.description.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 a robust-yet-fragile tendency: 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. en
dc.publisher The Royal Society Publishing en
dc.relation.ispartofseries Proceedings of the Royal Society of London Series A - Mathematical Physical and Engineering Sciences en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/1471-2946/ en
dc.rights.uri https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm en
dc.title Contagion in financial networks en
dc.type Journal Article en
dc.identifier.doi 10.1098/rspa.2009.0410 en
pubs.issue 2120 en
pubs.begin-page 2401 en
pubs.volume 466 en
dc.rights.holder Copyright: The Royal Society en
pubs.end-page 2423 en
dc.rights.accessrights http://purl.org/eprint/accessRights/RestrictedAccess en
pubs.subtype Article en
pubs.elements-id 266416 en
pubs.org-id Business and Economics en
pubs.org-id Economics en
pubs.record-created-at-source-date 2012-01-04 en


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