A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 124
Issue: 1
Pages: 113-116

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency of financial contagion without using information about individual balance sheets.

Technical Details

RePEc Handle
repec:eee:ecolet:v:124:y:2014:i:1:p:113-116
Journal Field
General
Author Count
1
Added to Database
2026-01-25