A Fiber Bundle Model of Systemic Risk in Financial Networks
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866916086603055104 |
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| author | Biswas, Soumyajyoti Chakrabarti, Bikas K. |
| author_facet | Biswas, Soumyajyoti Chakrabarti, Bikas K. |
| contents | Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized critical picture for the interconnected banking network. For such dynamics, recent developments in studying the inequality of the events, measured through the well-known Gini index and the more recently introduced Kolkata index, have been proved to be fruitful in anticipating large catastrophic events. In this chapter we review such developments for catastrophic failures using a simple model called the fiber bundle model. We then analyze the failure data of banks in terms of the inequality indices and study a simple variant of the fiber bundle model to analyze the same. It appears, both from the data and the model, that coincidence of these two indices signal a systemic risk in the network. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_03894 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Fiber Bundle Model of Systemic Risk in Financial Networks Biswas, Soumyajyoti Chakrabarti, Bikas K. Physics and Society Failure statistics of banks in the US show that their sizes are highly unequal (ranging from a few tens of thousands to over a billion dollars) and also, they come in `waves' of intermittent activities. This motivates a self-organized critical picture for the interconnected banking network. For such dynamics, recent developments in studying the inequality of the events, measured through the well-known Gini index and the more recently introduced Kolkata index, have been proved to be fruitful in anticipating large catastrophic events. In this chapter we review such developments for catastrophic failures using a simple model called the fiber bundle model. We then analyze the failure data of banks in terms of the inequality indices and study a simple variant of the fiber bundle model to analyze the same. It appears, both from the data and the model, that coincidence of these two indices signal a systemic risk in the network. |
| title | A Fiber Bundle Model of Systemic Risk in Financial Networks |
| topic | Physics and Society |
| url | https://arxiv.org/abs/2401.03894 |