Mapping Systemic Risk in the International Banking Network

Garratt, Rodney; Mahadeva, Łavan; Svirydzenka, Katsiaryna

doi:10.2139/ssrn.1786571

Cited by 68 publications

(56 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…by means of entropy measure) accounts for a very dynamic, unstable nature of the interbank structures confirmed by many studies (see e.g. Garratt et al (2011);Gabrieli (2011)). The way in which linkages are drawn may still be an issue for the distribution of the whole network.…”

Section: Interbank Networksupporting

confidence: 54%

“…11 This produces a very dynamic pattern of interbank networks, which reflects well the volatile nature of financial network structures (see e.g. Garratt et al (2011) andGabrieli (2011)). It also aims to circumvent the averaging bias characteristic of entropy measures, which tend to produce too much averaging at the tails and thus may underestimate contagion risk (see e.g.…”

Section: Introductionmentioning

confidence: 97%

“…13 Gabrieli (2011) as an exception also provides a network analysis covering at least part of the euro area money market. Likewise, Garratt et al (2011) presents a global interbank network in their paper.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Assessing interbank contagion using simulated networks

2013

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. All rights reserved. Terms of use: Documents in ISSN 1725-2806 (online) EU Catalogue NoQB-AR-13-003-EN-N (online)Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. The paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB or of the ESCB. AcknowledgementsThe authors are indebted to J. Henry, I. Alves, M. Groß, G. Simkus and S. Tavolaro and an anonymous referee who provided valuable comments. We are grateful for some inspiring e-mail discussions with A. Barvinok. Grzegorz Hałaj (corresponding author)European Central Bank; e-mail: grzegorz halaj@ecb.europa.eu, grzegorz halaj@n-s.pl Christoffer KokEuropean Central Bank; e-mail: christoffer.kok@ecb.europa.eu AbstractThis paper presents a new approach to randomly generate interbank networks while overcoming shortcomings in the availability of bank-by-bank bilateral exposures. Our model can be used to simulate and assess interbank contagion effects on banking sector soundness and resilience. We find a strongly non-linear pattern across the distribution of simulated networks, whereby only for a small percentage of networks the impact of interbank contagion will substantially reduce average solvency of the system. In the vast majority of the simulated networks the system-wide contagion effects are largely negligible. The approach furthermore enables to form a view about the most systemic banks in the system in terms of the banks whose failure would have the most detrimental contagion effects on the system as a whole. Finally, as the simulation of the network structures is computationally very costly, we also propose a simplified measure -a so-called Systemic Probability Index (SPI) -that also captures the likelihood of contagion from the failure of a given bank to honour its interbank payment obligations but at the same time is less costly to compute. We find that the SPI is broadly consistent with the results from the simulated network structures.

show abstract

Section: Interbank Networksupporting

confidence: 54%

Section: Introductionmentioning

confidence: 97%

See 1 more Smart Citation

Assessing interbank contagion using simulated networks

2013

View full text Add to dashboard Cite

show abstract

“…The authors comparing the advantages and disadvantages of these developments suggest that while this higher connectivity o¤ers better opportunities for portfolio diversi…cation and capital allocation it also enhances the likelihood of systemic risk and Haldane (2009) has suggested that over emphasis of the bene…cial e¤ects of increased connectivity led economists to under estimate the negative e¤ects of the changes in the other network measures. The evolution of the international payments network is also studied by Garratt et al (2011). They report that the network has changed drastically since the late 1980s.…”

Section: Cross-border Transactionsmentioning

confidence: 99%

Complex Financial Networks and Systemic Risk: A Review

Bougheas

Kirman

2015

Dynamic Modeling and Econometrics in Economics and Finance

View full text Add to dashboard Cite

show abstract

“…In Minoiu and Reyes (2011) the authors study the network of global banking from 1978 to 2009. On a different approach, in Hoggarth et al (2010) the authors study the propagation of the consequences of the previous international crisis on the international financial system, and in Garratt et al (2011) the authors study contagion in the international financial network.…”

Section: Network Models and Systemic Riskmentioning

confidence: 99%

An empirical study of the Mexican banking system’s network and its implications for systemic risk

Martínez-Jaramillo

Alexandrova-Kabadjova

Bravo-Benítez

et al. 2014

Journal of Economic Dynamics and Control

192

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size. Keywords: Systemic risk, financial networks, payment systems. JEL Classification: C01, C02, C44, C63, G21. Terms of use: Documents inResumen: Con el propósito de medir y monitorear el riesgo sistémico, se estudian algunas propiedades topológicas de las redes de exposiciones interbancarias y del sistema de pagos. Proponemos medidas no topológicas que sonútiles para describir el comportamiento individual de los bancos en ambas redes. La evolución de dichas redes también es estudiada y se extraen algunas conclusiones importantes desde la perspectiva del riesgo sistémico. También se crea una medida unificada de interconectividad. Los resultados principales de este estudio son: la red del sistema de pagos está fuertemente conectada en contraste con la red de exposiciones interbancarias; el tipo de exposiciones y el tamaño de los pagos revelan diferentes roles desempeñados por los bancos; el comportamiento de los bancos en la red de exposiciones cambió considerablemente después de la caída de Lehman; la interconectividad de un banco, estimada con la medida unificada, no necesariamente está relacionada con el tamaño de sus activos. Palabras Clave: Riesgo sistémico, redes financieras, sistemas de pagos.

show abstract

Mapping Systemic Risk in the International Banking Network

Cited by 68 publications

References 16 publications

Assessing interbank contagion using simulated networks

Assessing interbank contagion using simulated networks

Complex Financial Networks and Systemic Risk: A Review

An empirical study of the Mexican banking system’s network and its implications for systemic risk

Contact Info

Product

Resources

About