Menu Content/Inhalt
Seminars Print
previous year previous month next month next year
See by year See by month See by week See Today Search Jump to month
Tarik Roukny Ornia, IRIDIA, ULB Print
Thursday, 21 November 2013, 15:00 - 16:00

Tarik Roukny Ornia, IRIDIA, ULB

Unraveling the Role of Networks in the Emergence of Systemic Risk

Abstract: The recent crisis has brought to the fore a crucial question that remains still open: what would be the optimal architecture of financial systems? We investigate the stability of several benchmark topologies in a simple default cascading dynamics in bank networks. We analyze the interplay of several crucial drivers, i.e., network topology, banks' capital ratios, market illiquidity, and random vs targeted shocks. We find that, in general, topology matters only – but substantially – when the market is illiquid. No single topology is always superior to others. In particular, scale-free networks can be both more robust and more fragile than homogeneous architectures. This finding has important policy implications. We also apply our methodology to a comprehensive dataset of an interbank market from 1999 to 2011.

Homepage

Location: R42.4.118
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it

Back