eprintid: 3552
rev_number: 10
eprint_status: archive
userid: 69
dir: disk0/00/00/35/52
datestamp: 2016-10-04 10:57:25
lastmod: 2016-10-04 11:02:28
status_changed: 2016-10-04 10:57:25
type: article
metadata_visibility: show
creators_name: Battiston, Stefano
creators_name: Caldarelli, Guido
creators_name: May, Robert M.
creators_name: Roukny, Tarik
creators_name: Stiglitz, Joseph E.
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: 
creators_id: 
title: The price of complexity in financial networks
ispublished: pub
subjects: QC
divisions: CSA
full_text_status: public
keywords: Financial contagion, Financial networks, Complexity, Default probability, Systemic risk
note: SCOPUS ID: 2-s2.0-8498632199
abstract: Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the probability of systemic defaults. From the point of view of financial regulators, our findings show that the complexity of financial networks may decrease the ability to mitigate systemic risk, and thus it may increase the social cost of financial crises.
date: 2016
date_type: published
publication: Proceedings of the National Academy of Sciences
volume: 113
number: 36
publisher: PNAS
pagerange: 10031-10036
id_number: 10.1073/pnas.1521573113
refereed: TRUE
issn: 1091-6490
official_url: http://www.pnas.org/content/113/36/10031.abstract
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projects: FET project SIMPOL (nr. 610704)
projects: FET Project DOLFINS (nr. 640772)
projects: FET IP Project MULTIPLEX (nr. 317532)
projects: SoBigData (nr.654024)
citation:   Battiston, Stefano and Caldarelli, Guido and May, Robert M. and Roukny, Tarik and Stiglitz, Joseph E.  The price of complexity in financial networks.  Proceedings of the National Academy of Sciences, 113 (36).  pp. 10031-10036.  ISSN 1091-6490      (2016)  
document_url: http://eprints.imtlucca.it/3552/1/PNAS-2016-Battiston-10031-6.pdf