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Download or read book Systemic Risk and the Dynamics of Temporary Financial Networks written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Prasanna Gai
Publisher : OUP Oxford
ISBN 13 : 019165406X
Total Pages : 147 pages
Book Rating : 4.1/5 (916 download)
Download or read book Systemic Risk written by Prasanna Gai and published by OUP Oxford. This book was released on 2013-03-28 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Systemic Risk opens new ground in the study of financial crises. It treats the financial system as a complex adaptive system and shows how lessons from network disciplines - such as ecology, epidemiology, and statistical mechanics - shed light on our understanding of financial stability. Using tools from network theory and economics, it suggests that financial systems are robust-yet-fragile, with knife-edge properties that are greatly exacerbated by the hoarding of funds and the fire sale of assets by banks. This book studies the damaging network consequences of the failure of large inter-connected institutions, explains how key funding markets can seize up across the entire financial system, and shows how the pursuit of secured finance by banks in the wake of the global financial crisis can generate systemic risks. The insights are then used to model banking systems calibrated to data to illustrate how financial sector regulators are beginning to quantify financial system stress.
Author : Rui Gong
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Download or read book Systemic Risk and the Dynamics of Financial Networks written by Rui Gong and published by . This book was released on 2016 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper has two main objectives: first, to provide a formal definition of endogenous systemic risk that is firmly grounded in equilibrium dynamics of financial networks; and second, to construct a discounted stochastic game (DSG) model of the emergence of equilibrium network dynamics that fully takes into account the feedback between network structure, strategic behavior, and risk. Based on our definition of systemic risk we also propose a formal definition of tipping points. Using these tools we then provide a strategic approach to making global assessments of systemic risk in financial networks. Our approach is based on three key facts: (1) the equilibrium dynamics which emerge from the game of network formation generate finitely many disjoint basins of attraction as well as finitely many ergodic measures (implying that, starting from any financial network, in finite time with probability one, the dynamic sequence of financial networks arrives at one of these basins and once there stays there), (2) each basin of attraction is homogenous with respect to its default characteristics (meaning that if a basin contains states having a particular set of defaulted players, then all states contained in this basin have the same set of defaulted players), and (3) the unique profile of basins generated by the equilibrium dynamics carries with it a unique set of tipping points (special states) - and these tipping points provide an early warning of network failure.
Author : Aron Gottesman
Publisher : John Wiley & Sons
ISBN 13 : 1119348544
Total Pages : 276 pages
Book Rating : 4.1/5 (193 download)
Download or read book Understanding Systemic Risk in Global Financial Markets written by Aron Gottesman and published by John Wiley & Sons. This book was released on 2017-06-07 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: An accessible and detailed overview of the risks posed by financial institutions Understanding Systemic Risk in Global Financial Markets offers an accessible yet detailed overview of the risks to financial stability posed by financial institutions designated as systemically important. The types of firms covered are primarily systemically important banks, non-banks, and financial market utilities such as central counterparties. Written by Aron Gottesman and Michael Leibrock, experts on the topic of systemic risk, this vital resource puts the spotlight on coherency, practitioner relevance, conceptual explanations, and practical exposition. Step by step, the authors explore the specific regulations enacted before and after the credit crisis of 2007-2009 to promote financial stability. The text also examines the criteria used by financial regulators to designate firms as systemically important. The quantitative and qualitative methods to measure the ongoing risks posed by systemically important financial institutions are surveyed. A review of the regulations that identify systemically important financial institutions The tools to use to detect early warning indications of default A review of historical systemic events their common causes Techniques to measure interconnectedness Approaches for ranking the order the institutions which pose the greatest degree of default risk to the industry Understanding Systemic Risk in Global Financial Markets offers a must-have guide to the fundamentals of systemic risk and the key critical policies that work to reduce systemic risk and promoting financial stability.
Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 1107276578
Total Pages : 993 pages
Book Rating : 4.1/5 (72 download)
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.
Author : Peng-Chu Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Systemic risk in financial networks written by Peng-Chu Chen and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ms.Sheri M. Markose
Publisher : International Monetary Fund
ISBN 13 : 1475577508
Total Pages : 58 pages
Book Rating : 4.4/5 (755 download)
Download or read book Systemic Risk from Global Financial Derivatives written by Ms.Sheri M. Markose and published by International Monetary Fund. This book was released on 2012-11-30 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.
Author : Agostino Capponi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)
Download or read book Special Issue: Systemic Risk and Financial Networks written by Agostino Capponi and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : National Research Council
Publisher : National Academies Press
ISBN 13 : 0309107520
Total Pages : 120 pages
Book Rating : 4.3/5 (91 download)
Download or read book New Directions for Understanding Systemic Risk written by National Research Council and published by National Academies Press. This book was released on 2008-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stability of the financial system and the potential for systemic events to alter its function have long been critical issues for central bankers and researchers. Recent events suggest that older models of systemic shocks might no longer capture all of the possible paths of such disturbances or account for the increasing complexity of the financial system. To help assess these concerns, the Federal Reserve Bank of New York and the NRC cosponsored a conference that brought together engineers, scientists, economists, and financial market experts to promote better understanding of systemic risk in a variety of fields. The book presents an examination of tools used in ecology and engineering to study systemic collapse in those areas; a review of current trends in economic research on systemic risk, the payments system, and the market of interbank funds; and for context, descriptions of how systemic risk in the financial system affects trading activities.
Author : Xingmin Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book The Importance of Heterogeneity in Dynamic Network Models Applied to European Systemic Risk written by Xingmin Zhang and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard spatial time-series models for financial networks can fail substantially in uncovering empirical network and risk dynamics. We propose a novel empirical spatial modeling framework that solves this problem by accommodating both heterogeneity and time-variation in economic connections and spillovers. While highly flexible, the model is still straightforward to estimate. We apply the model to several datasets for Eurozone sovereign credit risk during the sovereign debt crisis. Accounting for heterogeneity and time-variation turns out to be empirically important and the new model uncovers intuitive patterns that would go unnoticed otherwise in currently available homogeneous and/or static spatial financial network models.
Author : Anita Anand
Publisher : Oxford University Press
ISBN 13 : 0198777620
Total Pages : 257 pages
Book Rating : 4.1/5 (987 download)
Download or read book Systemic Risk, Institutional Design, and the Regulation of Financial Markets written by Anita Anand and published by Oxford University Press. This book was released on 2016 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: A collection of essays from an impressive group of scholars, this volume disseminates the type of regulation that can be devised and implemented to respond to systemic risk as well as how systemic risk can be regulated in both a domestic and international market.
Author : Lorenzo Pagliaro
Publisher : American Academic Press
ISBN 13 : 1631816659
Total Pages : 132 pages
Book Rating : 4.6/5 (318 download)
Download or read book SYSTEMIC RISK IN BANKING written by Lorenzo Pagliaro and published by American Academic Press. This book was released on 2020-01-28 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shortly after the financial crisis of 2007-2008 many authors began to write about certain “huge institutions” potentially able to damage the entire financial system through negative shocks, approaching the issue of systemic risk in banking through the evaluation of the so called “Too-Big-to-Fail” actors. While the size of a bank is certainly a factor of risk when considering systemic implications, this book also explores the properties of some deeply interconnected institutions. The author’s main intuition is based on the renowned work by Mark Granovetter on “The Strength of Weak Ties” and “Economic Action and Social Structure: The Problem of Embeddedness”: dangerous flows, like financial shocks, may travel very quickly through networks in unexpectedly efficient ways thanks to “Weak Ties”. The existence of weaker yet longer ties implies a naturally “robust yet fragile” network where even distant actors are closely interconnected, sharing both opportunities and risks. As a consequence, some nodes may act as key actors under the structural perspective. It is therefore critical for the central authority to identify and closely monitor said institutions. Thanks to a journey through the history of Social Network Analysis this book offers a complete overview on the evolution of the methodology and the most recent applications to systemic risk assessment, which are completed by a critical approach towards the “Too-Interconnected-to-Fail” perspective.
Author : Joseph G. Haubrich
Publisher : University of Chicago Press
ISBN 13 : 0226921964
Total Pages : 286 pages
Book Rating : 4.2/5 (269 download)
Download or read book Quantifying Systemic Risk written by Joseph G. Haubrich and published by University of Chicago Press. This book was released on 2013-01-24 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Author : Vincenzo Pacelli
Publisher : Springer
ISBN 13 : 9783031649158
Total Pages : 0 pages
Book Rating : 4.6/5 (491 download)
Download or read book Systemic Risk and Complex Networks in Modern Financial Systems written by Vincenzo Pacelli and published by Springer. This book was released on 2024-11-11 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book is a groundbreaking exploration of systemic risk in modern financial systems. Through its theoretical and empirical investigations, it reveals the multidimensionality of systemic risk, the transmission channels of crises, and the interlinkages between physical, transition, and financial risks. It introduces cutting-edge methodologies, including prediction and optimization models based on complex networks, multilayer networks and eXplainable Artificial Intelligence (XAI) approaches, to forecast and measure systemic risk and financial crisis. It provides insight for academics, practitioners, policy and supervisory authorities, and bankers and financial market operators on understanding the links that determine the propagation of financial crises and the emergence of systemic risks. This book is essential for those wishing to better understand systemic risk and its implications.
Author : Spiros P. Bougheas
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (877 download)
Download or read book Complex Financial Networks and Systemic Risk written by Spiros P. Bougheas and published by . This book was released on 2014 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sanjiv Ranjan Das
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (13 download)
Download or read book Dynamic Systemic Risk Networks written by Sanjiv Ranjan Das and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a theory-driven framework for monitoring system-wide risk. Our approach extends the one-firm Merton (1974) credit risk model to a generalized stochastic network-based framework across all financial institutions, comprising a novel approach to measuring systemic risk over time. We develop four desired properties for any systemic risk measure. We also develop measures for the risks created by each individual institution and a measure for risk created by each pairwise connection between institutions. Four specific implementation models are then explored, and brief empirical examples illustrate the ease of implementation of these four models and show general consistency between their results.
Author : Jonathan William Welburn
Publisher :
ISBN 13 : 9781977403902
Total Pages : 43 pages
Book Rating : 4.4/5 (39 download)
Download or read book Systemic Risk in the Broad Economy written by Jonathan William Welburn and published by . This book was released on 2020 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the years following the 2008 financial crisis, significant attention was paid to systemic risk within heavily interconnected financial networks. The academic discussions on interbank network structure, market stability, and contagion gave rise to a policy debate about whether major banks had become both too big and too interconnected to fail. However, despite the focus on systemic risk-the risk of market collapse resulting from firm-level risks-within the financial sector, little attention was paid to systemic risks in the economy at large. The authors of this report address that gap in research. To begin to measure the potential magnitude of systemic risk in the broad economy, the authors estimated firm-to-firm connections across sectors of the U.S. economy. Using network analysis on observed firm-level networks to elucidate heavily interconnected firms and areas of centrality (i.e., firms of significant network importance), statistical inference, and network calibration, the authors provide a new approach to modeling the economy at the firm level that expands on the traditional sector-level input-output modeling by estimating firm-level input-output flows. The result allows one to use traditional input-output modeling to estimate the size of potential idiosyncratic shocks and to use economically weighted measures of centrality to reveal systemically important firms. The approach is a contribution to the growing literature on the microfoundations of economic risk, with the potential for use across a wide range of applications from financial stability to natural disasters.
