Contagion in financial networks

Gai, Prasanna; Kapadia, S

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