Search results for " financial network"

showing 3 items of 3 documents

Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

2021

AbstractWe analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. Marginal Expected Shortfall (MES), Delta Conditional Value-at-Risk (Delta-CoVaR), and Conditional Capital Shortfall Measure of Systemic Risk (SRISK) in a cross-border setting. Unlike paradoxical market price based risk measures, which underestimate risk during periods of asset price booms, the eigen-pair method based on bilateral balance sheet data gives early-warning of instability in terms of the tipping point that is analogou…

050208 financeFinancial contagionParadoxical risk measures05 social sciencesGlobal financial networksGeneral Decision SciencesManagement Science and Operations ResearchTipping point (climatology)Statistical market price-based risk measuresEigen-pair analysisCapital (economics)0502 economics and businessSystemic riskMarket priceCapital requirementSystemic riskEconomicsEconometricsBalance sheetEarly warning signalsAsset (economics)050207 economicsOR in bankingAnnals of Operations Research
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Contagion and Bank Runs in a Multi-Agent Financial System

2012

In this work we explore contagion from one institution to another that can stem from the existence of a network of financial contracts. In fact, in modern financial systems, an intricate web of claims and obligations links the balance sheets of a wide variety of intermediaries (banks, for instance) into a network structure of interdependencies that have created an environment for feedback elements to generate amplified responses to shocks to the financial system. Small shocks, which initially affect only a few institutions, can indeed spread by contagion to the rest of the financial sector and cause a crisis in the connected intermediaries. Whether the financial crisis does spread depends c…

Agent-based modelComplex contagionFinancial networksmedia_common.quotation_subjectBank runFinancial systemherding behaviorSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.systemic riskSystemic riskInstitutionbank runDeposit insuranceBalance sheetBusinessContagion financial network systemic risk agent based model.media_common
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Fair immunization and network topology of complex financial ecosystems

2023

The aftermath of the recent financial crisis has shown how expensive and unfair the stabilization of financial ecosystems can be. The main cause is the level of complexity of financial interactions that poses a problem for regulators. We provide an analytical framework that decomposes complex ecosystems in both their overall level of instability and the contribution of institutions to instability. These ingredients are then used to study the pathways of the ecosystems towards stability by means of immunization schemes. The latter can be designed to penalize institutions proportionally to their contribution to instability, and therefore enhance fairness. We show that fair immunization scheme…

Statistics and ProbabilityStatistical and Nonlinear PhysicsSystemic risk Dynamical systems Stability analysis Financial networks BanksPhysica A: Statistical Mechanics and its Applications
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