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Contagion Flow Through Banking Networks

Michael Boss·Martin Summer·Stefan Thurner
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Abstract

Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes in variables like interest rates, exchange rates, etc. We demonstrate that the system is relatively stable in the sence that defaults of individual banks are unlikely to spread over the entire network. We study the contagion impact of all individual banks, meaning the number of banks which are driven into insolvency as a result of a single bank's default. We show that the vertex betweenness of individual banks is linearly related to their contagion impact.

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Michael Boss, Martin Summer, Stefan Thurner. 2004-03-05. Contagion Flow Through Banking Networks. https://arxiv.org/abs/cond-mat/0403167

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