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Loss distribution of systemic defaults in different interbank networks
https://doi.org/10.1142/S0129183116501217Cited by:4 (Source: Crossref)
Abstract
We analyze the impact of the network structure, the default probability and the loss given default (LGD) on the loss distribution of systemic defaults in the interbank market, where network structures analyzed include random networks, small-world networks and scale-free networks. We find that the network structure has little effect on the shape of the loss distribution, whereas the opposite is true to the default probability; the LGD changes the shape of the loss distribution significantly when default probabilities are high; the maximum of the possible loss is sensitive to the network structure and the LGD.
PACS Nos.: 89.65.−s, 89.75.Hc
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