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The Dynamics of Interbank Networks

In: Discrete Mathematics and Applications

Author

Listed:
  • John Leventides

    (National and Kapodistrian University of Athens)

  • Maria Livada

    (National and Kapodistrian University of Athens)

  • Costas Poulios

    (National and Kapodistrian University of Athens)

Abstract

Given an interbank network (X, C, E 0), where X is the set of banks, C is the vector of capitals, and E 0 is the bilateral exposures matrix, the bankruptcy set U x for each x ∈ X is defined. The set U x contains all possible combinations of institutions whose failure would result in the default of the bank x. It turns out that the minimal elements of the sets U x, x ∈ X play a prominent role in the study of the problem of default contagion in an interbank market. Several aspects of this problem can be characterized in terms of the minimal elements of U x, x ∈ X, for example, the propagation of an initial shock through the network as well as the equilibrium points of the network.

Suggested Citation

  • John Leventides & Maria Livada & Costas Poulios, 2020. "The Dynamics of Interbank Networks," Springer Optimization and Its Applications, in: Andrei M. Raigorodskii & Michael Th. Rassias (ed.), Discrete Mathematics and Applications, pages 369-395, Springer.
    • Handle: RePEc:spr:spochp:978-3-030-55857-4_14
    DOI: 10.1007/978-3-030-55857-4_14
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