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arXiv · 1410.0125

Systemic Interbank Network Risks in Russia

A. V. Leonidov·E. L. Rumyantsev
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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.

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A. V. Leonidov, E. L. Rumyantsev. 2014-10-01. Systemic Interbank Network Risks in Russia. https://arxiv.org/abs/1410.0125

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