Financial Contagion In Networks

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Contagion! Systemic Risk in Financial Networks

Author : T. R. Hurd
Publisher : Springer
ISBN 13 : 3319339303
Total Pages : 146 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis Contagion! Systemic Risk in Financial Networks by : T. R. Hurd

Download or read book Contagion! Systemic Risk in Financial Networks written by T. R. Hurd and published by Springer. This book was released on 2016-05-25 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.

Evolution of the Global Financial Network and Contagion: A New Approach

Author : Ms.Yevgeniya Korniyenko
Publisher : International Monetary Fund
ISBN 13 : 1484353242
Total Pages : 41 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Evolution of the Global Financial Network and Contagion: A New Approach by : Ms.Yevgeniya Korniyenko

Download or read book Evolution of the Global Financial Network and Contagion: A New Approach written by Ms.Yevgeniya Korniyenko and published by International Monetary Fund. This book was released on 2018-05-15 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the interconnectedness of the global financial system and its susceptibility to shocks. A novel multilayer network framework is applied to link debt and equity exposures across countries. Use of this approach—that examines simultaneously multiple channels of transmission and their important higher order effects—shows that ignoring the heterogeneity of financial exposures, and simply aggregating all claims, as often done in other studies, can underestimate the extent and effects of financial contagion.The structure of the global financial network has changed since the global financial crisis, impacted by European bank’s deleveraging and higher corporate debt issuance. Still, we find that the structure of the system and contagion remain similar in that network is highly susceptible to shocks from central countries and those with large financial systems (e.g., the USA and the UK). While, individual European countries (excluding the UK) have relatively low impact on shock propagation, the network is highly susceptible to the shocks from the entire euro area. Another important development is the rising role of the Asian countries and the noticeable increase in network susceptibility to shocks from China and Hong Kong SAR economies.

Financial Contagion in Networks

Author : Syngjoo Choi
Publisher :
ISBN 13 :
Total Pages : 73 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Financial Contagion in Networks by : Syngjoo Choi

Download or read book Financial Contagion in Networks written by Syngjoo Choi and published by . This book was released on 2017 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how the network structure of financial linkages and uncertainty about the location of a shock affect the likelihood of contagion and the formation of prices in a double auction market experiment. Core-periphery networks are highly susceptible to contagion and generate fire sales of assets that exacerbate financial contagion beyond the mechanical role of network structure. In contrast, contagion is minimal on circle networks and market prices remain stable. Uncertainty on the location of the shock has little influence. The traders' comprehension level of the network-driven risk is predictive of their behavior and the likelihood of bankruptcy.

Computational Science — ICCS 2004

Author : Marian Bubak
Publisher : Springer Science & Business Media
ISBN 13 : 3540221166
Total Pages : 1376 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Computational Science — ICCS 2004 by : Marian Bubak

Download or read book Computational Science — ICCS 2004 written by Marian Bubak and published by Springer Science & Business Media. This book was released on 2004-05-26 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Conference on Computational Science (ICCS 2004) held in Krak ́ ow, Poland, June 6–9, 2004, was a follow-up to the highly successful ICCS 2003 held at two locations, in Melbourne, Australia and St. Petersburg, Russia; ICCS 2002 in Amsterdam, The Netherlands; and ICCS 2001 in San Francisco, USA. As computational science is still evolving in its quest for subjects of inves- gation and e?cient methods, ICCS 2004 was devised as a forum for scientists from mathematics and computer science, as the basic computing disciplines and application areas, interested in advanced computational methods for physics, chemistry, life sciences, engineering, arts and humanities, as well as computer system vendors and software developers. The main objective of this conference was to discuss problems and solutions in all areas, to identify new issues, to shape future directions of research, and to help users apply various advanced computational techniques. The event harvested recent developments in com- tationalgridsandnextgenerationcomputingsystems,tools,advancednumerical methods, data-driven systems, and novel application ?elds, such as complex - stems, ?nance, econo-physics and population evolution.

Evolution of the Global Financial Network and Contagion

Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Evolution of the Global Financial Network and Contagion by :

Download or read book Evolution of the Global Financial Network and Contagion written by and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Network Challenge (Chapter 21)

Author : Franklin Allen
Publisher : Pearson Education
ISBN 13 : 0137015518
Total Pages : 38 pages
Book Rating : 4.1/5 (37 download)

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Book Synopsis The Network Challenge (Chapter 21) by : Franklin Allen

Download or read book The Network Challenge (Chapter 21) written by Franklin Allen and published by Pearson Education. This book was released on 2009-05-19 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern financial systems exhibit a high degree of interdependence, with connections between financial institutions stemming from both the asset and the liability sides of their balance sheets. Networks--broadly understood as a collection of nodes and links between nodes--can be a useful representation of financial systems. By modeling economic interactions, network analysis can better explain certain economic phenomena. In this chapter, Allen and Babus argue that the use of network theories can enrich our understanding of financial systems. They explore several critical issues. First, they address the issue of systemic risk, by studying two questions: how resilient financial networks are to contagion, and how financial institutions form connections when exposed to the risk of contagion. Second, they consider how network theory can be used to explain freezes in the interbank market. Third, they examine how social networks can improve investment decisions and corporate governance, based on recent empirical results. Fourth, they examine the role of networks in distributing primary issues of securities. Finally, they consider the role of networks as a form of mutual monitoring, as in microfinance.

The Effect of the Interbank Network Structure on Contagion and Common Shocks

Author : Co-Pierre Georg
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Effect of the Interbank Network Structure on Contagion and Common Shocks by : Co-Pierre Georg

Download or read book The Effect of the Interbank Network Structure on Contagion and Common Shocks written by Co-Pierre Georg and published by . This book was released on 2016 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of risky investments and riskless excess reserves according to their risk, return, and liquidity preferences. They are linked via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms of systemic risk require different optimal policy responses.

CoMap: Mapping Contagion in the Euro Area Banking Sector

Author : Mehmet Ziya Gorpe
Publisher : International Monetary Fund
ISBN 13 : 1498312071
Total Pages : 63 pages
Book Rating : 4.4/5 (983 download)

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Book Synopsis CoMap: Mapping Contagion in the Euro Area Banking Sector by : Mehmet Ziya Gorpe

Download or read book CoMap: Mapping Contagion in the Euro Area Banking Sector written by Mehmet Ziya Gorpe and published by International Monetary Fund. This book was released on 2019-05-10 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Handbook on Systemic Risk

Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 1107023432
Total Pages : 993 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Handbook on Systemic Risk by : Jean-Pierre Fouque

Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Contagion in Financial Networks

Author : Paul Glasserman
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Contagion in Financial Networks by : Paul Glasserman

Download or read book Contagion in Financial Networks written by Paul Glasserman and published by . This book was released on 2015 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys the rapidly growing literature about interconnectedness and financial stability. The paper focuses on insights in the literature on the relationship between network structure and the vulnerability of the financial system to contagion.

International Financial Contagion

Author : Stijn Claessens
Publisher : Springer Science & Business Media
ISBN 13 : 1475733143
Total Pages : 461 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis International Financial Contagion by : Stijn Claessens

Download or read book International Financial Contagion written by Stijn Claessens and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: No sooner had the Asian crisis broken out in 1997 than the witch-hunt started. With great indignation every Asian economy pointed fingers. They were innocent bystanders. The fundamental reason for the crisis was this or that - most prominently contagion - but also the decline in exports of the new commodities (high-tech goods), the steep rise of the dollar, speculators, etc. The prominent question, of course, is whether contagion could really have been the key factor and, if so, what are the channels and mechanisms through which it operated in such a powerful manner. The question is obvious because until 1997, Asia's economies were generally believed to be immensely successful, stable and well managed. This question is of great importance not only in understanding just what happened, but also in shaping policies. In a world of pure contagion, i.e. when innocent bystanders are caught up and trampled by events not of their making and when consequences go far beyond ordinary international shocks, countries will need to look for better protective policies in the future. In such a world, the international financial system will need to change in order to offer better preventive and reactive policy measures to help avoid, or at least contain, financial crises.

The Econometrics of Networks

Author : Áureo de Paula
Publisher : Emerald Group Publishing
ISBN 13 : 1838675779
Total Pages : 353 pages
Book Rating : 4.8/5 (386 download)

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Book Synopsis The Econometrics of Networks by : Áureo de Paula

Download or read book The Econometrics of Networks written by Áureo de Paula and published by Emerald Group Publishing. This book was released on 2020-10-19 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: Showcasing fresh methodological and empirical research on the econometrics of networks, and comprising both theoretical, empirical and policy papers, the authors in this volume bring together a wide range of perspectives to facilitate a dialogue between academics and practitioners for better understanding this groundbreaking field.

Interconnectedness and Contagion Analysis: A Practical Framework

Author : Mrs.Jana Bricco
Publisher : International Monetary Fund
ISBN 13 : 1513517856
Total Pages : 49 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Interconnectedness and Contagion Analysis: A Practical Framework by : Mrs.Jana Bricco

Download or read book Interconnectedness and Contagion Analysis: A Practical Framework written by Mrs.Jana Bricco and published by International Monetary Fund. This book was released on 2019-10-11 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.

Filling in the Blanks

Author : Kartik Anand
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Filling in the Blanks by : Kartik Anand

Download or read book Filling in the Blanks written by Kartik Anand and published by . This book was released on with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding networks with minimum density. When used in a stress-testing context, the minimum density solution overestimates contagion, whereas maximum entropy underestimates it. Using the two benchmarks side by side defines a useful range that bounds the cost of systemic stress present in the true interbank network when counterparty exposures are unknown.

Tree Networks to Assess Financial Contagion

Author : Daniel Felix Ahelegbey
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Tree Networks to Assess Financial Contagion by : Daniel Felix Ahelegbey

Download or read book Tree Networks to Assess Financial Contagion written by Daniel Felix Ahelegbey and published by . This book was released on 2019 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: We proposes a two-layered tree network model that decomposes financial contagion into a global component, composed of inter-country contagion effects, and a local component, made up of inter-institutional contagion channels. The model is effectively applied to a database containing time series of daily CDS spreads of major European financial institutions (banks and insurance companies), and reveals the importance monitoring both channels to assess financial contagion. The empirical application revealed evidence of a high inter-country and inter-institutional vulnerability at the onset of the global financial crisis in 2008 and during the sovereign crisis in 2011. The result further identifies Belgium and France as central to the inter-country contagion in the Euro area during the financial crisis, while Italy dominated during the sovereign crisis. The French corporates Groupama, Credit Industriel and Caisse d'Epargne were central in the inter-institutional contagion in both crises.

The Financial Crisis Inquiry Report

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
ISBN 13 : 1616405414
Total Pages : 692 pages
Book Rating : 4.6/5 (164 download)

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Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission

Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Financial Contagion and Network Analysis

Author : Martin Summer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Financial Contagion and Network Analysis by : Martin Summer

Download or read book Financial Contagion and Network Analysis written by Martin Summer and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Network models of interbank exposures allow the mapping of the complex web of financial linkages among many institutions and address issues of system stability and contagion risk. Although existing models cover a fair amount of ground in explaining how network structure can lead to default cascades and in quantifying the likelihood and the impact of default cascades through balance-sheet mechanics, the literature has shortcomings in explaining how shocks are potentially amplified through the network of exposures. These amplification mechanisms seem to be very important in financial crises. This review discusses the main conceptual ideas behind network models of contagion, the major findings of this literature, as well as some limitations of existing models.