Contagion in financial networks

By Prasanna Gai, S. Kapadia. Proceedings of the Royal Society A, 2010

1,557 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0e50ef770c4e1a48c5b18e8c485f66a7670123f5

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Citations in the corpus

Heterogeneity, Correlations and Financial Contagion (2011, methodology): “In this section we describe the model introduced in [1] and review its main features.”
Complexity, concentration and contagion (2011, methodology): “4We build on Gai and Kapadia (2010, 2011) who model default contagion and liquidity hoarding by adapting techniques advanced by Newman et al (2001) and Watts (2002).”
An empirical study of the Mexican banking system’s network and its implications for systemic risk (2012, neutral): “Simulation of financial networks has been also applied to study contagion, as in Nier et al. (2007) and Gai and Kapadia (2010).”
A Network Model of Financial System Resilience (2013, neutral): “…complements recent work that draws on techniques from network science and statistical physics to study credit contagion and model credit risk losses in banks’ portfolios (Giesecke and Weber (2004, 2006); Horst (2007); Hatchett and Kühn (2009); Gai and Kapadia (2010); May and Arinaminpathy (2010)).”
Multi-Layered Interbank Model For Assessing Systemic Risk (2016, background): “Other studies concerning the interbank network, e.g. Gai and Kapadia (2010), clearly show the dualism of interbank connections: on one side, they are necessary in order to pool idiosyncratic risk of single institutions and improve the efficiency of the banking sector.”
Contagion and risk-sharing on the inter-bank market (2013, methodology): “(2007) and Gai and Kapadia (2010) all find that increasing the amount of reserves reduces the number of bankruptcies.”
Transmission channels of systemic risk and contagion in the European financial network (2015, neutral): “Hence, similar to Furfine (2003), Gai and Kapadia (2010) and Gai et al. (2011) our measure of systemic risk is the expected loss that the contagion channel imposes on a banking system.”
Rollover Risk, Network Structure and Systemic Financial Crises (2012, neutral): “Recent analyses in this vein include May and Arinaminpathy (2010), Gai and Kapadia (2010), and Gai et.al (2011).”
Where Modern Macroeconomics Went Wrong (2017, neutral): “…et al. (2008)), the crisis itself provided enormous impetus to research in this area: see Haldane (2009), Allen et al. (2010), Roitman et al. (2010), Stiglitz (2010a,d), Gai and Kapadia (2010), Haldane and May (2011), Battiston et al. (2012a), Acemoğlu et al. (2016), and Battiston et al. (2016).”
Small vulnerable sets determine large network cascades in power grids (2017, background): “Similar hurdles exist in studying large-scale failures in the broader context of complex networks (16–18), including extinction cascades in ecological systems (19–21) and contagion dynamics in financial systems (22, 23).”
Macroprudential Policy - A Literature Review (2012, neutral): “Gai and Kapadia (2008) and Nier et al. (2008) construct artificial homogeneous networks of banks and analyze the effect of an idiosyncratic shock on the resilience of the network.”
Post-Mortem Examination of the International Financial Network (2012, neutral): “Furthermore, Gai and Kapadia (2010) employ tools borrowed from the epidemiological literature to show that greater connectivity reduces the likelihood of widespread default, but also that dense financial networks display the tendency to be “robustyet-fragile”: the probability of contagion is…”
Vital nodes identification in complex networks (2016, background): “Gai and Kapadia [355] studied the probability and potential impact of contagion caused by the initial default.”
Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions (2017, neutral): “This paper is most closely related to empirical studies of contagion (Furfine, 2003; Upper and Worms, 2004; Gai and Kapadia, 2010).”
The Effect of the Interbank Network Structure on Contagion and Common Shocks (2013, positive): “Interbank networks exhibit what Haldane (2009) describes as a knife-edge, or robust-yet-fragile property: in normal times the connections between banks lead to an enhanced liquidity allocation and increased risk sharing.”
Quantification of systemic risk from overlapping portfolios in the financial system (2018, background): “Liquidity hoarding in interbank funding markets can cascade through a financial network with severe consequences (Gai and Kapadia, 2010; Gai et al., 2011).”