eprintid: 2698
rev_number: 10
eprint_status: archive
userid: 69
dir: disk0/00/00/26/98
datestamp: 2015-05-21 10:00:39
lastmod: 2016-04-07 09:49:34
status_changed: 2015-05-21 10:00:39
type: article
metadata_visibility: show
creators_name: Roukny, Tarik
creators_name: Bersini, Hugues
creators_name: Pirotte, Hugues
creators_name: Caldarelli, Guido
creators_name: Battiston, Stefano 
creators_id: 
creators_id: 
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
title: Default Cascades in Complex Networks: Topology and Systemic Risk
ispublished: pub
subjects: QA75
subjects: QC
divisions: EIC
full_text_status: public
keywords: Computational science, Applied physics
abstract: The recent crisis has brought to the fore a crucial question that remains still open: what would be the optimal architecture of financial systems? We investigate the stability of several benchmark topologies in a simple default cascading dynamics in bank networks. We analyze the interplay of several crucial drivers, i.e., network topology, banks' capital ratios, market illiquidity, and random vs targeted shocks. We find that, in general, topology matters only – but substantially – when the market is illiquid. No single topology is always superior to others. In particular, scale-free networks can be both more robust and more fragile than homogeneous architectures. This finding has important policy implications. We also apply our methodology to a comprehensive dataset of an interbank market from 1999 to 2011.
date: 2013
date_type: published
publication: Scientific Reports
volume: 3
number: 2759
publisher: Nature Publishing Group
pagerange: 1-8
id_number: 10.1038/srep02759
refereed: TRUE
issn: 2045-2322
official_url: http://www.nature.com/srep/2013/130926/srep02759/full/srep02759.html
projects: EC FET Open Project “FOC” Nr. 255987
citation:   Roukny, Tarik and Bersini, Hugues and Pirotte, Hugues and Caldarelli, Guido and Battiston, Stefano   Default Cascades in Complex Networks: Topology and Systemic Risk.  Scientific Reports, 3 (2759).  pp. 1-8.  ISSN 2045-2322      (2013)  
document_url: http://eprints.imtlucca.it/2698/1/srep02759.pdf