Discovering SIFIs in Interbank Communities

Abstract

This paper proposes a new methodology based on non-negative matrix factorization to detect communities and to identify central nodes in a network as well as within communities. The method is specifically designed for directed weighted networks and, consequently, it has been applied to the interbank network derived from the e-MID interbank market. In an interbank network indeed links are directed, representing flows of funds between lenders and borrowers. Besides distinguishing between Systemically Important Borrowers and Lenders, the technique complements the detection of systemically important banks, revealing the community structure of the network, that proxies the most plausible areas of contagion of institutions’ distress.

Heterogeneous Firms and International Trade: The Role of Productivity and Financial Fragility

“…Given the high correlation of both TFP and Net Worth with their own lags and given that our model is static, we run the following specification: Export i,t = α + β 0 T F P i, t + β 1 N etW orth i,t + β 3 P AV IT T + e i,t (37) where Pavitt is the well-known Pavitt's taxonomy, which distinguish between supplierdominated, scale-intensitive, specialized suppliers and science-based firms. As mentioned above, we do not intend to study any causal effect between the variables but only the existence of the correlations emerged from the theoretical framework.…”

Network Based Scoring Models to Improve Credit Risk Management in Peer to Peer Lending Platforms

“…Moreover, since several studies have found the presence of sets of very dense sub-graphs, with few connections between them, as a result of similar patterns at the micro-level (see Pecora et al, 2016 ; Spelta et al, 2018 ), we also apply the Louvain Method to extract the community structure of the network (see Blondel et al, 2008 ). The identified communities maximize system's modularity, a measure that quantifies the strength of the division of the system into communities of densely interconnected nodes that are only sparsely connected with the rest of the system (see Newman, 2006 ).…”

War of the Waves: Radio and Resistance during World War II

“…VOACAP is written in Fortran and appears to be the natural evolution of IONCAP (Ionospheric Communications Analysis Prediction), inheriting from the latter the entire theoretical basis. 37 This software was originally designed for Voice of America (the official broadcasting service of the Federal Government of the United States, supervised by the Broadcasting Board of Governors), and today is considered "the most professional HF system performance prediction tool available on the market" (www.voacap.com). 38 In order to be able to have an automated procedure to obtain the required output data, we had two engineers developing a custom software interface (Radio Propagation And Data Aggregation -RadioPropagAnDA)…”

“…The program provides a prediction of radio signal strength in terms of Signal-to-Noise Ratio (SNR) for each BBC transmitter-frequency-power combination, in each Italian municipality in each month and in each half-an-hour range. We then average out the 37 www.voacap.com/documents/familychart.pdf. 38 See also www.met.nps.edu/~psguest/EMEO_online/module3.…”