Systemic Interbank Network Risks in Russia

TL;DR

This paper models contagion risks in the Russian interbank network, considering its unique structure, and finds that contagion is unlikely to percolate extensively, providing insights into systemic risk management.

Contribution

It introduces a novel contagion model that incorporates bow-tie structure and disassortativity specific to Russian interbank networks.

Findings

Model accurately describes Russian interbank market dynamics

Contagion risks are non-percolative in this network

Structural properties limit widespread contagion

Abstract

Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given.