Mitigating cascades in sandpile models: an immunization strategy for systemic risk?
Journal de Physique IV 225, 2017 (2016)
Cascades on a random graph
We use a simple model of distress propagation (the sandpile model) to show how financial systems are naturally subject to the risk of systemic failures. Taking into account possible network structures among financial institutions, we investigate if simple policies can limit financial distress propagation to avoid system-wide crises, i.e. to dampen systemic risk. We therefore compare different immunization policies (i.e. targeted helps to financial institutions) and find that the information coming from the network topology allows to mitigate systemic cascades by targeting just few institutions.
The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market
F. Lillo, P. Barucca
Computational Management Science
A. Scala, V. Zlatić, G. Caldarelli, G. D’Agostino
Journal de Physique IV
M. Puliga, G. Caldarelli, S. Battiston
T. Roukny, H. Bersini, H. Pirotte, G. Caldarelli, S. Battiston
D. Delpini, S. Battiston, M. Riccaboni, G. Gabbi, F. Pammolli, G. Caldarelli
G. D'Agostino, A. Scala, V. Zlatić, G. Caldarelli
EPL (Europhysics Letters)