A mesoscopic approach to modeling and simulation of systemic risks

Structural features exist on the microscopic level derived from differences between single node properties, mesoscopic level derived from properties shared by groups of nodes, and macroscopic level derived from properties of the whole network. In this study, we simulate systemic failures on network models that show typical mesoscopic topological features, the core-periphery structure and the modular structure. The results of our numerical simulation analysis indicate that mesoscopic features reveal properties of default contagion propagation that cannot be captured by macroscopic approaches such as degree distribution.