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Author : Ali Rais Shaghaghi
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (886 download)
Download or read book Monitoring Systemic Risk and Contagion in Financial Networks written by Ali Rais Shaghaghi and published by . This book was released on 2014 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : T. R. Hurd
Publisher : Springer
ISBN 13 : 3319339303
Total Pages : 146 pages
Book Rating : 4.3/5 (193 download)
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.
Author : Jean-Pierre Fouque
Publisher : Cambridge University Press
ISBN 13 : 1107023432
Total Pages : 993 pages
Book Rating : 4.1/5 (7 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 : Ms.Sheri M. Markose
Publisher : International Monetary Fund
ISBN 13 : 1475531869
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 : Matteo Chinazzi
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (13 download)
Download or read book Systemic Risk, Contagion, and Financial Networks written by Matteo Chinazzi and published by . This book was released on 2015 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent crisis has highlighted the crucial role that existing linkages among banks and financial institutions plays in channeling and amplifying shocks hitting the system. The structure and evolution of such web of linkages can be fruitfully characterized using concepts borrowed from the theory of (complex) networks. This paper critically surveys recent theoretical work that exploits this concept to explain the sources of contagion and systemic risk in financial markets. We taxonomize existing contributions according to the impact of network connectivity, bank heterogeneity, existing uncertainty in financial markets, portfolio composition of the banks. We end with a discussion of the most important challenges faced by theoretical network-based models of systemic risk. These include a better understanding of the causal links between network structure and the likelihood of systemic risk and increasingly using the empirical knowledge about real-world financial-network structures to calibrate theoretical models.
Author : Mrs.Jana Bricco
Publisher : International Monetary Fund
ISBN 13 : 1513517856
Total Pages : 49 pages
Book Rating : 4.5/5 (135 download)
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.
Author : Franklin Allen
Publisher : Pearson Education
ISBN 13 : 0137015518
Total Pages : 38 pages
Book Rating : 4.1/5 (37 download)
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.
Author : Franklin Allen
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Networks in Finance written by Franklin Allen and published by . This book was released on 2011 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern financial systems exhibit a high degree of interdependence. There are different possible sources of connections between financial institutions, stemming from both the asset and the liability side of their balance sheet. For instance, banks are directly connected through mutual exposures acquired on the interbank market. Likewise, holding similar portfolios or sharing the same mass of depositors creates indirect linkages between financial institutions. Broadly understood as a collection of nodes and links between nodes, networks can be a useful representation of financial systems. By providing means to model the specifics of economic interactions, network analysis can better explain certain economic phenomena. In this paper we argue that the use of network theories can enrich our understanding of financial systems. We review the recent developments in financial networks, highlighting the synergies created from applying network theory to answer financial questions. Further, we propose several directions of research. First, we consider the issue of systemic risk. In this context, two questions arise: how resilient financial networks are to contagion, and how financial institutions form connections when exposed to the risk of contagion. The second issue we consider is how network theory can be used to explain freezes in the interbank market of the type we have observed in August 2007 and subsequently. The third issue is how social networks can improve investment decisions and corporate governance. Recent empirical work has provided some interesting results in this regard. The fourth issue concerns the role of networks in distributing primary issues of securities as, for example, in initial public offerings, or seasoned debt and equity issues. Finally, we consider the role of networks as a form of mutual monitoring as in microfinance.
Author : Tobias Adrian
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Financial Stability Monitoring written by Tobias Adrian and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a recently released New York Fed staff report, we present a forward-looking monitoring program to identify and track time-varying sources of systemic risk.
Author : Mehmet Ziya Gorpe
Publisher : International Monetary Fund
ISBN 13 : 1498312071
Total Pages : 63 pages
Book Rating : 4.4/5 (983 download)
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.
Author : Marco A Espinosa-Vega
Publisher : International Monetary Fund
ISBN 13 : 1455200646
Total Pages : 29 pages
Book Rating : 4.4/5 (552 download)
Download or read book Cross-Border Financial Surveillance written by Marco A Espinosa-Vega and published by International Monetary Fund. This book was released on 2010-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Author : Christina Hans
Publisher :
ISBN 13 :
Total Pages : 121 pages
Book Rating : 4.:/5 (112 download)
Download or read book Systemic Risk in the Banking Sector written by Christina Hans and published by . This book was released on 2017 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates various aspects of systemic risk in financial networks. Chapter 1 explores the existence of a contagion channel to security returns given that banks are connected via overlapping portfolios. Making use of a proprietary dataset on securities held by German banks, I identify the network induced through cross holdings and nd higher correlations among the returns on securities held by connected banks. This contagion channel to security returns is stronger for banks which are large, highly leveraged and highly interconnected and especially at work during the recent nancial crisis. Chapter 2 establishes a model for bank credit risk interconnectedness based on CDS data, in which defaults can be triggered by systematic global and country shocks as well as idiosyncratic bank-speci c shocks. Applying the framework to a sample of large European nancial institutions reveals that the credit risk network captures a substantial amount of dependence in addition to what is explained by systematic factors. Chapter 3 analyzes the relation between market-based bank credit risk interconnectedness and the associated balance sheet linkages via funding and securities holdings. Results suggest that market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high-frequency bank fundamental data.
Author : Ms.Yevgeniya Korniyenko
Publisher : International Monetary Fund
ISBN 13 : 1484356586
Total Pages : 41 pages
Book Rating : 4.4/5 (843 download)
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.
Author : Mr.Jorge A. Chan-Lau
Publisher : International Monetary Fund
ISBN 13 : 1455200662
Total Pages : 27 pages
Book Rating : 4.4/5 (552 download)
Download or read book Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems written by Mr.Jorge A. Chan-Lau and published by International Monetary Fund. This book was released on 2010-04-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between individual banks in Chile, an advanced emerging market economy.
Author : Aron Gottesman
Publisher : John Wiley & Sons
ISBN 13 : 1119348463
Total Pages : 268 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 2017-06-15 with total page 268 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 : Daron Acemoglu
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)
Download or read book Systemic Risk and Stability in Financial Networks written by Daron Acemoglu and published by . This book was released on 2015 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a framework for studying the relationship between the financial network architecture and the likelihood of systemic failures due to contagion of counterparty risk. We show that financial contagion exhibits a form of phase transition as interbank connections increase: as long as the magnitude and the number of negative shocks affecting financial institutions are sufficiently small, more "complete" interbank claims enhance the stability of the system. However, beyond a certain point, such interconnections start to serve as a mechanism for propagation of shocks and lead to a more fragile financial system. We also show that, under natural contracting assumptions, financial networks that emerge in equilibrium may be socially inefficient due to the presence of a network externality: even though banks take the effects of their lending, risk-taking and failure on their immediate creditors into account, they do not internalize the consequences of their actions on the rest of the network.
Author : Nikolaus Hautsch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Forecasting Systemic Impact in Financial Networks written by Nikolaus Hautsch and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
