%0 Book Section %1 Gleeson2013Systemic %A Gleeson, James P. %A Hurd, T. R. %A Melnik, Sergey %A Hackett, Adam %B Advances in Network Analysis and its Applications %C Berlin, Heidelberg %D 2013 %E Kranakis, Evangelos %I Springer Berlin Heidelberg %K systemic-risk banks epidemic-models %P 27--56 %R 10.1007/978-3-642-30904-5\_2 %T Systemic Risk in Banking Networks Without Monte Carlo Simulation %U http://dx.doi.org/10.1007/978-3-642-30904-5\_2 %V 18 %X An analytical approach to calculating the expected size of contagion events in models of banking networks is presented. The method is applicable to networks with arbitrary degree distributions, permits cascades to be initiated by the default of one or more banks, and includes liquidity risk effects. Theoretical results are validated by comparison with Monte Carlo simulations, and may be used to assess the stability of a given banking network topology. %& 2 %@ 978-3-642-30903-8

@inbook{Gleeson2013Systemic, abstract = {{An analytical approach to calculating the expected size of contagion events in models of banking networks is presented. The method is applicable to networks with arbitrary degree distributions, permits cascades to be initiated by the default of one or more banks, and includes liquidity risk effects. Theoretical results are validated by comparison with Monte Carlo simulations, and may be used to assess the stability of a given banking network topology.}}, added-at = {2019-06-10T14:53:09.000+0200}, address = {Berlin, Heidelberg}, author = {Gleeson, James P. and Hurd, T. R. and Melnik, Sergey and Hackett, Adam}, biburl = {https://www.bibsonomy.org/bibtex/27298024562a3d5cb55c2bf2da0a35dab/nonancourt}, booktitle = {Advances in Network Analysis and its Applications}, chapter = 2, citeulike-article-id = {11598027}, citeulike-linkout-0 = {http://dx.doi.org/10.1007/978-3-642-30904-5\_2}, citeulike-linkout-1 = {http://www.springerlink.com/content/k1t630472x147727}, doi = {10.1007/978-3-642-30904-5\_2}, editor = {Kranakis, Evangelos}, interhash = {c44ada8bd89459a7a8db0319f6b47837}, intrahash = {7298024562a3d5cb55c2bf2da0a35dab}, isbn = {978-3-642-30903-8}, issn = {1612-3956}, keywords = {systemic-risk banks epidemic-models}, pages = {27--56}, posted-at = {2012-11-01 10:05:04}, priority = {2}, publisher = {Springer Berlin Heidelberg}, series = {Mathematics in Industry}, timestamp = {2019-07-31T12:34:57.000+0200}, title = {{Systemic Risk in Banking Networks Without Monte Carlo Simulation}}, url = {http://dx.doi.org/10.1007/978-3-642-30904-5\_2}, volume = 18, year = 2013 }