Export file:

Format

  • RIS(for EndNote,Reference Manager,ProCite)
  • BibTex
  • Text

Content

  • Citation Only
  • Citation and Abstract

The spread of a financial virus through Europe and beyond

1 Center for Research and Development in Mathematics and Applications (CIDMA), Department of Mathematics, University of Aveiro, 3810-193 Aveiro, Portugal
2 School of Business Studies, Polytechnic Institute of Viana do Castelo, 4930-678 Valença, Portugal

Topical Section: Mathematical modeling

We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using bilateral data on foreign claims between them. Banking statistics of consolidated foreign claims on ultimate risk bases, obtained from the Banks of International Settlements, allow us to measure the exposure of contagion spreading from a particular country to the other national banking systems. We show that the financial system of some countries, experiencing the debt crisis, is a source of global systemic risk because they threaten the stability of a larger system, being a global threat to the intoxication of the world economy and resulting in what we call a “financial virus”. Illustrative simulations were done in the NetLogo multi-agent programmable modelling environment and in MATLAB.
  Figure/Table
  Supplementary
  Article Metrics

Keywords financial contagion; infection spreading; network and epidemiological models; mathematical modelling

Citation: Olena Kostylenko, Helena Sofia Rodrigues, Delfim F. M. Torres. The spread of a financial virus through Europe and beyond. AIMS Mathematics, 2019, 4(1): 86-98. doi: 10.3934/Math.2019.1.86

References

  • 1.International Monetary Fund, World Economic Outlook: Crisis and Recovery, World Economic and Financial Surveys, 2009. Available from: https://www.imf.org/external/pubs/ft/weo/2009/01.
  • 2.Bank for International Settlements 64th Annual Report, Basel, 1994.
  • 3.J. Chen, Systemic Risk, Investopedia, 2018. Available from: https://www.investopedia.com/terms/s/systemic-risk.asp.
  • 4.G. G. Kaufman, Banking and currency crises and systemic risk, Internet Archive. Available from: https://core.ac.uk/download/pdf/6792996.pdf.
  • 5.O. O. Kostylenko and O. M. Nazarenko, Modelling and identification of macroeconomic system dynamic interindustry balance, Mechanism of Economic Regulation, 1 (2014), 76-86.
  • 6.A. C. Inci, J. McCarthy and H. Li, Financial contagion: A local correlation analysis, Research in International Business and Finance, 25 (2011), 11-25.    
  • 7.P. D. Alexakis, D. Kenourgios and D. Dimitriou, On emerging stock market contagion: the Baltic region, Research in International Business and Finance, 36 (2016), 312-321.    
  • 8.P. Giudici and L. Parisi, CoRisk: Credit Risk Contagion with Correlation Network Models, Risks, 6 (2018), 95.
  • 9.T. Ahnert and C.-P. Georg, Information contagion and systemic risk, Journal of Financial Stability, 35 (2018), 159-171.    
  • 10.F. Brauer, Mathematical epidemiology: Past, present, and future, Infectious Disease Modelling, 2 (2017), 113-127.    
  • 11.H. S. Rodrigues, Application of SIR epidemiological model: new trends, International Journal of Applied Mathematics and Informatics, 10 (2016), 92-97.
  • 12.Y. Ozturka, M. Gulsub, Numerical solution of a modified epidemiological model for computer viruses, Appl. Math. Model., 39 (2015), 7600-7610.    
  • 13.J. Cannarella and J. A. Spechler, Epidemiological modeling of online social network dynamics, 2014. Available from: \\ https://arxiv.org/abs/1401.4208.
  • 14.H. S. Rodrigues and M. J. Fonseca, Can information be spread as a virus? Viral marketing as epidemiological model, Math. Method. Appl. Sci., 39 (2016), 4780-4786.    
  • 15.Y. Wu, Reputation risk contagion and control of rural banks in China based on epidemic model, Computer Modelling & New Technologies, 18 (2014), 229-235.
  • 16.R. Engle, E. Jondeau and M. Rockinger, Systemic Risk in Europe, Review of Finance, 19 (2014), 145-190.
  • 17.E. Cerutti, S. Claessens and P. McGuire, Systemic risks in global banking: What available data can tell us and what more data are needed? National Bureau of Economic Research, w18531 (2012), 26.
  • 18.N. Paltalidis, D. Gounopoulos, R. Kizys, et al. Transmission channels of systemic risk and contagion in the European financial network, Journal of Banking & Finance, 61 (2015), 36-52.
  • 19.Bank for International Settlements. Available from: https://stats.bis.org/statx/srs/table/b4.
  • 20.The Guardian, Credit ratings: how Fitch, Moody's and S&P rate each country. Available from: https://www.theguardian.com/news/datablog/2010/apr/30/credit-ratings-country-fitch-moodys-standard#data.
  • 21.U. Wilensky, NetLogo, 1999. Available from: http://ccl.northwestern.edu/netlogo/. Center for Connected Learning and Computer-Based Modeling, Northwestern University, Evanston, IL.
  • 22.W. O. Kermack and A. G. McKendrick, A contribution to the mathematical theory of epidemics, The Royal Society of London A, 115 (1927), 700-721.    
  • 23.MATLAB. Available from: https://www.mathworks.com/products/matlab.html.
  • 24.J. Bartlett and M. J. Plank, Epidemic dynamics on random and scale-free networks, ANZIAM J., 54 (2012), 3-22.    
  • 25.D. Alderson, H. Chang and M. Roughan, The many facets of internet topology and traffic, Netw. Heterog. Media, 1 (2006), 569-600.    
  • 26.L. Hufnagel, D. Brockmann and T. Geisel, Forecast and control of epidemics in a globalized world, P. Natl. Acad. Sci. USA, 101 (2004), 15124-15129.    
  • 27.E. L. Rezende, J. E. Lavabre and P. R. Guimarães, Non-random coextinctions in phylogenetically structured mutualistic networks, Nature, 448 (2007), 925-928.    
  • 28.T. David, T. van Kempen, H. Huang, et al. The geometry and dynamics of binary trees, Math. Comput. Simulat., 81 (2011), 1464-1481.    
  • 29.S. R. Proulx, D. E. L. Promislow, P. C. Phillips, Network thinking in ecology and evolution, Trends Ecol. Evol., 20 (2005), 345-353.    
  • 30.R. Albert and A.-L. Barabási, Statistical mechanics of complex networks, Rev. Mod. Phys., 74 (2002), 47-97.    
  • 31.A. Garas and P. Argyrakis, Worldwide spreading of economic crisis, New J. Phys., 12 (2010), 113043.
  • 32.A. P. Lemos-Paião, C. J. Silva and D. F. M. Torres, A cholera mathematical model with vaccination and the biggest outbreak of world's history, AIMS Mathematics, 3 (2018), 448-463.    
  • 33.O. Kostylenko, H. S. Rodrigues and D. F. M. Torres, Banking risk as an epidemiological model: An optimal control approach. In: Vaz A., Almeida J., Oliveira J., Pinto A. (eds),Operational Research. APDIO 2017, Springer Proceedings in Mathematics & Statistics, 223 (2018), Springer, Cham, 165-176.
  • 34.S. Avdjiev, Measuring banking systems' exposures to particular countries, BIS Quarterly Review, 2010. Available from: https://www.bis.org/publ/qtrpdf/r_qt1006y.htm.
  • 35.Trading Economics. Available from: https://tradingeconomics.com/country-list/rating.
  • 36.F. Stonedahl and U. Wilensky, NetLogo virus on a network model, Center for Connected Learning and Computer-Based Modeling, Northwestern University, Evanston, IL, 2008. Available from: http://ccl.northwestern.edu/netlogo/models/VirusonaNetwork.

 

Reader Comments

your name: *   your email: *  

© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)

Download full text in PDF

Export Citation

Copyright © AIMS Press All Rights Reserved