SpringerBriefs in Quantitative Finance

Contagion! Systemic Risk in Financial Networks

Authors: Hurd, T. R.

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  • Extends exciting methods of network science to the problem of global financial stability
  • A unique example of how mathematics can address a major social phenomenon
  • Methods for analyzing and simulating complex cascading behaviour in real world networks
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eBook $59.99
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  • ISBN 978-3-319-33930-6
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Softcover $79.99
price for USA in USD
  • ISBN 978-3-319-33929-0
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About this book

This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.

Reviews

“Contagion! Systemic Risk in Financial Networks … provides a unified mathematical framework for analysis of risk propagation in financial networks. … The book is geared primarily toward mathematicians, statisticians, and quantitative analysts with a background in financial mathematics. The book will also serve as an excellent textbook for a graduate course on financial networks or as a part of a more general course on network studies.” (Yulia R. Gel, Technometrics, Vol. 59 (1), February, 2017)

“This book is an attempt to crystallize the early results of research that focusses on the basic modelling structure of financial systemic risk in a financial network. … The book will be useful for those working and researching in the areas of systemic risk, financial networks and risk management.” (Anatoliy Swishchuk, zbMATH 1369.91005, 2017)

“From a theoretician’s point of view, I would say that the book is looking for sophisticated and advanced probabilistic models to explain things that have already happened, and hoping to find a way to prevent those things from happening again. Therefore I would recommend the book to theoreticians and also to graduate students in mathematics.” (George Stoica, Mathematical Reviews, October, 2016)


Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $59.99
price for USA in USD
  • ISBN 978-3-319-33930-6
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.99
price for USA in USD
  • ISBN 978-3-319-33929-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Contagion! Systemic Risk in Financial Networks
Authors
Series Title
SpringerBriefs in Quantitative Finance
Copyright
2016
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-33930-6
DOI
10.1007/978-3-319-33930-6
Softcover ISBN
978-3-319-33929-0
Series ISSN
2192-7006
Edition Number
1
Number of Pages
IX, 139
Number of Illustrations
3 b/w illustrations, 8 illustrations in colour
Topics