Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis View Full Text


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Article Info

DATE

2019-04-02

AUTHORS

Gian Paolo Clemente, Rosanna Grassi, Chiara Pederzoli

ABSTRACT

This article investigates the behaviour of the European banking system during the financial crises that occurred in the last decades. Among the various approaches for measuring systemic risk, we consider network analysis, which describes the linkages among financial institutions and their whole structure. We construct a time-varying network of the European banking system. Banks are linked to form a global interconnected system and they mutually influence one another in terms of risk. We model their reciprocal influence via a weighted and directed network, in which weights are related to risk measures that are based on equity returns. Then, we apply two network indicators to investigate the prominence of a bank in spreading and receiving risk from the others. The results enable us to capture many features of the banking system while identifying the global systemically important banks. Moreover, the results of the analysis over time show how interconnections change over periods that are characterized by various economic scenarios. More... »

PAGES

1-23

References to SciGraph publications

  • 2018-01. Network models of financial systemic risk: a review in JOURNAL OF COMPUTATIONAL SOCIAL SCIENCE
  • 2018-07. A survey of network-based analysis and systemic risk measurement in JOURNAL OF ECONOMIC INTERACTION AND COORDINATION
  • 2013-12. DebtRank-transparency: Controlling systemic risk in financial networks in SCIENTIFIC REPORTS
  • 2015-10. Markets connectivity and financial contagion in JOURNAL OF ECONOMIC INTERACTION AND COORDINATION
  • 2015. Complex Network Analysis in Socioeconomic Models in COMPLEXITY AND GEOGRAPHICAL ECONOMICS
  • 2017-02-21. Pathways towards instability in financial networks in NATURE COMMUNICATIONS
  • 2018-08-23. Agent-based modeling of systemic risk in the European banking sector in JOURNAL OF ECONOMIC INTERACTION AND COORDINATION
  • 2012-12. DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk in SCIENTIFIC REPORTS
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    URI

    http://scigraph.springernature.com/pub.10.1007/s11403-019-00247-4

    DOI

    http://dx.doi.org/10.1007/s11403-019-00247-4

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