Simulation Of Contagion In The Stock Markets Using Cross Shareholding Networks

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Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks

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

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Book Synopsis Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks by : Hossein Dastkhan

Download or read book Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks written by Hossein Dastkhan and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, simulation of contagion in financial markets is one of the main concerns of the economic and finance researchers and policy makers in order to analyze the effects of different shocks on the contagion. In this paper, we introduce a simulation model to analyze the contagion in financial markets based on the cross-shareholding network of firms. In order to validate the proposed model, we investigate the results of a real dataset from an emerging market. According to different kinds of idiosyncratic and aggregate shocks to the system, we analyze the probability and the extent of contagion. Moreover, to study the effect of market structure, the results of different null models are compared with the real network. The results show that the proposed simulation model and the cross-shareholding network are effectively appropriate in the analysis of contagion and systemic risk in the financial systems. The results of null models indicate that the structural characteristics of the financial networks have significant role in the spread of shocks and financial crisis. The results also reveal that for the networks with homogeneity for degree and weights underestimates the number of infected firms and overestimates the loss percents.

The Econometrics of Networks

Author : Áureo de Paula
Publisher : Emerald Group Publishing
ISBN 13 : 1838675752
Total Pages : 496 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 496 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.

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.

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.

The Oxford Handbook of the Economics of Networks

Author : Yann Bramoullé
Publisher : Oxford University Press
ISBN 13 : 0190216832
Total Pages : 857 pages
Book Rating : 4.1/5 (92 download)

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Book Synopsis The Oxford Handbook of the Economics of Networks by : Yann Bramoullé

Download or read book The Oxford Handbook of the Economics of Networks written by Yann Bramoullé and published by Oxford University Press. This book was released on 2016-03-01 with total page 857 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of the Economics of Networks represents the frontier of research into how and why networks they form, how they influence behavior, how they help govern outcomes in an interactive world, and how they shape collective decision making, opinion formation, and diffusion dynamics. From a methodological perspective, the contributors to this volume devote attention to theory, field experiments, laboratory experiments, and econometrics. Theoretical work in network formation, games played on networks, repeated games, and the interaction between linking and behavior is synthesized. A number of chapters are devoted to studying social process mediated by networks. Topics here include opinion formation, diffusion of information and disease, and learning. There are also chapters devoted to financial contagion and systemic risk, motivated in part by the recent financial crises. Another section discusses communities, with applications including social trust, favor exchange, and social collateral; the importance of communities for migration patterns; and the role that networks and communities play in the labor market. A prominent role of networks, from an economic perspective, is that they mediate trade. Several chapters cover bilateral trade in networks, strategic intermediation, and the role of networks in international trade. Contributions discuss as well the role of networks for organizations. On the one hand, one chapter discusses the role of networks for the performance of organizations, while two other chapters discuss managing networks of consumers and pricing in the presence of network-based spillovers. Finally, the authors discuss the internet as a network with attention to the issue of net neutrality.

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.

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.

Interconnections in the Greek Economy

Author : Panagiotis E. Petrakis
Publisher : Springer Nature
ISBN 13 : 3031313356
Total Pages : 267 pages
Book Rating : 4.0/5 (313 download)

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Book Synopsis Interconnections in the Greek Economy by : Panagiotis E. Petrakis

Download or read book Interconnections in the Greek Economy written by Panagiotis E. Petrakis and published by Springer Nature. This book was released on 2023-05-23 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the economic interconnections of the Greek economy at a macro and micro level, allowing it to explore both the economic relations between the various sectors and the interconnections of various companies and overlaps in management boards. Two approaches are used to quantify interdisciplinary and cross-sectoral interfaces: the traditional input-output analysis approach and the “influence and information flow” approach through network analysis. The book's first part presents the current conditions and the economic interconnections within the Greek economy. In the second part, during the analysis of microeconomic interconnections between individuals and companies, a much more thorough presentation of the economic interconnections of Greek companies is established. Finally, the book’s third part presents how the Greek economy must transform its production prototype under structural constraints and opportunities for economic diversification and inclusive growth and under the pressure of economic shocks and uncertainty.

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.

Connections

Author : Sanjeev Goyal
Publisher : Princeton University Press
ISBN 13 : 140082916X
Total Pages : 303 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Connections by : Sanjeev Goyal

Download or read book Connections written by Sanjeev Goyal and published by Princeton University Press. This book was released on 2012-01-12 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Networks pervade social and economic life, and they play a prominent role in explaining a huge variety of social and economic phenomena. Standard economic theory did not give much credit to the role of networks until the early 1990s, but since then the study of the theory of networks has blossomed. At the heart of this research is the idea that the pattern of connections between individual rational agents shapes their actions and determines their rewards. The importance of connections has in turn motivated the study of the very processes by which networks are formed. In Connections, Sanjeev Goyal puts contemporary thinking about networks and economic activity into context. He develops a general framework within which this body of research can be located. In the first part of the book he demonstrates that location in a network has significant effects on individual rewards and that, given this, it is natural that individuals will seek to form connections to move the network in their favor. This idea motivates the second part of the book, which develops a general theory of network formation founded on individual incentives. Goyal assesses the robustness of current research findings and identifies the substantive open questions. Written in a style that combines simple examples with formal models and complete mathematical proofs, Connections is a concise and self-contained treatment of the economic theory of networks, one that should become the natural source of reference for graduate students in economics and related disciplines.

Cross-Border Interbank Contagion Risk Analysis

Author : Roman Matousek
Publisher : Cambridge University Press
ISBN 13 : 1108898173
Total Pages : 101 pages
Book Rating : 4.1/5 (88 download)

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Book Synopsis Cross-Border Interbank Contagion Risk Analysis by : Roman Matousek

Download or read book Cross-Border Interbank Contagion Risk Analysis written by Roman Matousek and published by Cambridge University Press. This book was released on 2020-07-30 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element provides a detailed overview of the structural changes in the Asia-Pacific region from the early 2000s onwards. It reviews the most relevant literature on this important topic. The following two research areas are explored: first, by deploying visual network analysis (VNA), we analyse cross-border interbank claims and liabilities of the individual countries located in the Asia-Pacific region. Such an analysis evaluates interbank exposures to systematically important banks within the specific market. The important advantage of VNA is that it allows us to examine the 'hierarchical' cross-country interbank contagion risk that seems to have been neglected in similar studies. Secondly, we evaluate the contagion risk to the individual countries spreading from the financial centres in Hong Kong, Singapore, Tokyo, New York and London. The analysis unveils links and statistical factors that could be used as a key tool for detecting the potential triggers of systemic risk.

Internal Capital Markets in Business Groups and the Propagation of Credit Supply Shocks

Author : Ms.Yu Shi
Publisher : International Monetary Fund
ISBN 13 : 1498316352
Total Pages : 39 pages
Book Rating : 4.4/5 (983 download)

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Book Synopsis Internal Capital Markets in Business Groups and the Propagation of Credit Supply Shocks by : Ms.Yu Shi

Download or read book Internal Capital Markets in Business Groups and the Propagation of Credit Supply Shocks written by Ms.Yu Shi and published by International Monetary Fund. This book was released on 2019-05-21 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using business registry data from China, we show that internal capital markets in business groups can propagate corporate shareholders’ credit supply shocks to their subsidiaries. An average of 16.7% local bank credit growth where corporate shareholders are located would increase subsidiaries investment by 1% of their tangible fixed asset value, which accounts for 71% (7%) of the median (average) investment rate among these firms. We argue that equity exchanges is one channel through which corporate shareholders transmit bank credit supply shocks to the subsidiaries and provide empirical evidence to support the channel.

Estimating Bilateral Exposures in the German Interbank Market

Author : Christian Upper
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Estimating Bilateral Exposures in the German Interbank Market by : Christian Upper

Download or read book Estimating Bilateral Exposures in the German Interbank Market written by Christian Upper and published by . This book was released on 2016 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk associated with interbank lending may lead to domino effects, where the failureKreditrisiken aus Interbankbeziehungen können zu Dominoeffekten führen indem der.

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.

The Oxford Handbook of Computational Economics and Finance

Author : Shu-Heng Chen
Publisher : Oxford University Press
ISBN 13 : 0190877502
Total Pages : 785 pages
Book Rating : 4.1/5 (98 download)

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Book Synopsis The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen

Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018-01-12 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Listed Volatility and Variance Derivatives

Author : Yves Hilpisch
Publisher : John Wiley & Sons
ISBN 13 : 1119167930
Total Pages : 398 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Listed Volatility and Variance Derivatives by : Yves Hilpisch

Download or read book Listed Volatility and Variance Derivatives written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2016-11-10 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives. Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.