Network structure and systemic risk in banking systems

@inproceedings{Cont2012NetworkSA,
  title={Network structure and systemic risk in banking systems},
  author={Rama Cont and Amal Awad Abdelnabi Moussa and Edson B. dos Santos},
  year={2012}
}
We present a quantitative methodology for analyzing the potential for contagion and systemic risk in a network of interlinked financial institutions, using a metric for the systemic importance of institutions: the Contagion Index. We apply this methodology to a data set of mutual exposures and capital levels of financial institutions in Brazil in 2007 and 2008, and analyze the role of balance sheet size and network structure in each institution’s contribution to systemic risk. Our results… CONTINUE READING
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