Contagion! Systemic Risk in Financial Networks
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 finan
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T.R. Hurd
Contagion! Systemic Risk in Financial Networks 123
SpringerBriefs in Quantitative Finance Series editors Peter Bank, Berlin, Germany Pauline Barrieu, London, UK Lorenzo Bergomi, Paris, France Rama Cont, London, UK Jakša Cvitanic, Pasadena, CA, USA Matheus R. Grasselli, Toronto, Canada Steven Kou, Singapore, Singapore Mike Ludkowski, Santa Barbara, CA, USA Vladimir Piterbarg, London, UK Nizar Touzi, Palaiseau Cedex, France
More information about this series at http://www.springer.com/series/8784
T.R. Hurd
Contagion! Systemic Risk in Financial Networks
123
T.R. Hurd Department of Mathematics and Statistics McMaster University Hamilton, ON Canada
ISSN 2192-7006 ISSN 2192-7014 (electronic) SpringerBriefs in Quantitative Finance ISBN 978-3-319-33929-0 ISBN 978-3-319-33930-6 (eBook) DOI 10.1007/978-3-319-33930-6 Library of Congress Control Number: 2016939054 © The Author(s) 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG Switzerland
Preface
This slim volume logs the development of a cascade of contagious ideas that has occupied my space, time and mind in recent years. There was a clear triggering event that occurred in April 2009. Late in that month, Michael Lynch and his colleagues at MITACS Canada brought together a host of scientists, mathematicians and finance industry participants for three days to brainstorm about underlying causes of the ongoing financial crisis and how mathematical thinking could be brought to bear on it. My role there was as gadfly to provoke discussion on a special topic no one at the meeting was very aware of, namely financial systemic risk. Since that event introduced me to the subject, I have had many opportunities to present to a diversity of audiences an evolving view of how the architecture of the financial system can be described in terms of network science, and how such a network fo
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