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https://hdl.handle.net/20.500.14094/90005005
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2024-03-29
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90005005 (fulltext)
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メタデータID
90005005
アクセス権
open access
出版タイプ
Version of Record
タイトル
Network models of financial systemic risk: a review
著者
Caccioli, Fabio ; Barucca, Paolo ; Kobayashi, Teruyoshi
著者名
Caccioli, Fabio
著者名
Barucca, Paolo
著者ID
A0652
研究者ID
1000010387607
KUID
https://kuid-rm-web.ofc.kobe-u.ac.jp/profile/ja.c58fb9511897c187520e17560c007669.html
著者名
Kobayashi, Teruyoshi
小林, 照義
コバヤシ, テルヨシ
所属機関名
経済学研究科
収録物名
Journal of Computational Social Science
巻(号)
1(1)
ページ
81-104
出版者
Springer
刊行日
2018-01
公開日
2018-07-05
抄録
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of attention has been paid to the understanding of the mechanisms that can lead to a breakdown of this network. This can happen when the existing financial links turn from being a means of risk diversification to channels for the propagation of risk across financial institutions. In this review article, we summarize recent developments in the modeling of financial systemic risk. We focus, in particular, on network approaches, such as models of default cascades due to bilateral exposures or to overlapping portfolios, and we also report on recent findings on the empirical structure of interbank networks. The current review provides a landscape of the newly arising interdisciplinary field lying at the intersection of several disciplines, such as network science, physics, engineering, economics, and ecology.
キーワード
Financial networks
Systemic risk
Contagion
Clearing algorithm
Overlapping portfolio
Interbank markets
カテゴリ
経済学研究科
学術雑誌論文
権利
© The Author(s) 2017.
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
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資源タイプ
journal article
言語
English (英語)
ISSN
2432-2717
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eISSN
2432-2725
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関連情報
DOI
https://doi.org/10.1007/s42001-017-0008-3
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