A Fiber Bundle Model of Systemic Risk in Financial Networks
arxiv(2024)
摘要
Failure statistics of banks in the US show that their sizes are highly
unequal (ranging from a few tens of thousands to over a billion dollars) and
also, they come in `waves' of intermittent activities. This motivates a
self-organized critical picture for the interconnected banking network. For
such dynamics, recent developments in studying the inequality of the events,
measured through the well-known Gini index and the more recently introduced
Kolkata index, have been proved to be fruitful in anticipating large
catastrophic events. In this chapter we review such developments for
catastrophic failures using a simple model called the fiber bundle model. We
then analyze the failure data of banks in terms of the inequality indices and
study a simple variant of the fiber bundle model to analyze the same. It
appears, both from the data and the model, that coincidence of these two
indices signal a systemic risk in the network.
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