A model of contagion propagation in the Russian interbank market based on the real data is developed  .
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-tie structure reflecting functionality of the corresponding nodes (borrowers, lenders, borrowers and lenders simultaneously), degree distributions and disassortativity of the interbank network under consideration based on empirical data is developed . The characteristics of contagion-related systemic risk calculated with this model are shown to be in agreement with those of explicit stress tests .
R
A model of contagion propagation
Systemic risks of default contagion
R
based on the real
are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic model of interbank contagion explicitly taking into account the empirical bow-tie structure reflecting functionality of the corresponding nodes (borrowers, lenders, borrowers and lenders simultaneously), degree distributions and disassortativity of the interbank network under consideration based on empirical
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. The characteristics of contagion-related systemic risk calculated with this model are shown to be in agreement with those of explicit stress tests