Mapping bank securities across euro area sectors: comparing funding and exposure networks

Abstract

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Securities cross-holding in the Colombian financial system: A topological approach

“…12 Cross-section similarity is particularly important in our case. As in Hüser and Kok (2019), when layers display point-wise similarity in the form of a high Jaccard index, the same financial institutions tend to be linked in different layers. In our case, this means that the same connections tend to coexist across the different types of securities, and that distress will propagate across different markets.…”

“…To our knowledge, the empirical research work of Poledna, et al (2015) and Hüser and Kok (2019) are the only using observed data on cross-holding in financial systems. Poledna, et al (2015) use Mexican data and DebtRank methodology (see Battiston, et al, 2012b)…”

“…Concurrent with the literature on exposures networks, most literature on networks of securities cross-holding does not work on observed data. Some noteworthy exceptions are Poledna, et al (2015) with Mexican data, and Hüser and Kok (2019) with European data. In our case, we use a unique dataset of securities issued and held by financial institutions (in proprietary position)…”

“…Consequently, interest in exposures networks spurred after the global financial crisis. However, exposures are typically estimated due to a lack of detailed counterparty data (Hüser & Kok, 2019).…”

“…The dataset enables us to work with a time-series of multi-layer networks, in which bonds, certificates of deposit, and equity issued and held by financial institutions are analyzed separately and as a whole, along 193 weeks. Therefore, our work is closely related to Poledna, et al and Hüser and Kok. We add to Poledna, et al (2015) and Hüser and Kok (2019) in several ways. First, we focus on the topology of securities cross-holding networks by measuring the extent to which reciprocal and transitive relations exist.…”