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Contagion! Systemic Risk in Financial Networks

  • T. R.┬áHurd

Part of the SpringerBriefs in Quantitative Finance book series (BRIEFFINANCE)

Table of contents

  1. Front Matter
    Pages i-ix
  2. T. R. Hurd
    Pages 1-17
  3. T. R. Hurd
    Pages 19-44
  4. T. R. Hurd
    Pages 45-70
  5. T. R. Hurd
    Pages 71-94
  6. T. R. Hurd
    Pages 95-124
  7. T. R. Hurd
    Pages 125-127
  8. Back Matter
    Pages 129-139

About this book

Introduction

This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.

Keywords

05C80, 90B15, 60K35, 91G99 network science random financial network percolation systemic risk financial stability

Authors and affiliations

  • T. R.┬áHurd
    • 1
  1. 1.Department of Mathematics and StatisticsMcMaster University Department of Mathematics and StatisticsHamiltonCanada

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-33930-6
  • Copyright Information The Author(s) 2016
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-33929-0
  • Online ISBN 978-3-319-33930-6
  • Series Print ISSN 2192-7006
  • Series Online ISSN 2192-7014
  • Buy this book on publisher's site
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