Physics – Condensed Matter – Other Condensed Matter
Scientific paper
2004-03-05
Physics
Condensed Matter
Other Condensed Matter
8 pages, 2 figures, contribution to iccs 2004
Scientific paper
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.
Boss Michael
Summer Martin
Thurner Stefan
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