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Financial networks with intermediation

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  • A. Nagurney
  • K. Ke

Abstract

In this paper, we develop a framework for the modelling, analysis, and computation of solutions to financial network problems in the presence of intermediation. Specifically, we consider an economy consisting of three types of agents: those with sources of funds, such as households and firms; intermediary ones, such as banks, savings institutions, insurance companies, investment companies, etc, and, finally, the consumers located at demand markets corresponding to the uses of funds, such as household loans, real estate loans, business loans, etc. We address the behaviour of the agents, construct the hierarchical network, and demonstrate how the equilibrium financial flows, as well as the prices, can be determined using finite-dimensional variational inequality theory.

Suggested Citation

  • A. Nagurney & K. Ke, 2001. "Financial networks with intermediation," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 441-451.
    • Handle: RePEc:taf:quantf:v:1:y:2001:i:4:p:441-451
    DOI: 10.1088/1469-7688/1/4/304
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    Citations

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    Cited by:

    1. Cojocaru, Monica-Gabriela & Daniele, Patrizia & Nagurney, Anna, 2006. "Double-layered dynamics: A unified theory of projected dynamical systems and evolutionary variational inequalities," European Journal of Operational Research, Elsevier, vol. 175(1), pages 494-507, November.
    2. Zugang Liu & Anna Nagurney, 2007. "Financial Networks with Intermediation and Transportation Network Equilibria: A Supernetwork Equivalence and Reinterpretation of the Equilibrium Conditions with Computations," Computational Management Science, Springer, vol. 4(3), pages 243-281, July.
    3. Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "Network topology of the interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 677-684.
    4. Nagurney, Anna & Ke, Ke, 2006. "Financial networks with intermediation: Risk management with variable weights," European Journal of Operational Research, Elsevier, vol. 172(1), pages 40-63, July.
    5. Zugang Liu, 2013. "The co-evolution of integrated corporate financial networks and supply chain networks with insolvency risk," Computational Management Science, Springer, vol. 10(2), pages 253-275, June.
    6. Anna Nagurney & Tina Wakolbinger & Li Zhao, 2006. "The Evolution and Emergence of Integrated Social and Financial Networks with Electronic Transactions: A Dynamic Supernetwork Theory for the Modeling, Analysis, and Computation of Financial Flows and R," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 353-393, May.
    7. Ozili, Peterson K, 2017. "Earnings Management in Interconnected Networks: A Perspective," MPRA Paper 92647, University Library of Munich, Germany.
    8. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    9. Jose Fique & Frank Page, 2013. "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, vol. 10(2), pages 213-230, June.
    10. Qiang Qiang & Ke Ke & Yihong Hu, 2013. "Financial networks with socially responsible investing," Computational Management Science, Springer, vol. 10(2), pages 231-252, June.

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