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Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a … strong geographic component, whereas country sovereign bond connectedness does not. Dynamically, we find that equity …

Persistent link: https://www.econbiz.de/10012963187

Networks, Shocks, and Systemic Risk

Acemoglu, Daron - 2015

This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic...

Persistent link: https://www.econbiz.de/10013028546

Financial Connections and Systemic Risk

Allen, Franklin - 2010

We develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures. In a clustered network groups of financial institutions hold identical portfolios and default together. In an...

Persistent link: https://www.econbiz.de/10013141271

Systemic Risk and Stability in Financial Networks

Acemoglu, Daron - 2013

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...

Persistent link: https://www.econbiz.de/10013087886

On the Network Topology of Variance Decompositions : Measuring the Connectedness of Financial Firms

Diebold, Francis X. - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide … natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance … decompositions define weighted, directed networks, so that our connectedness measures are intimately-related to key measures of …

Persistent link: https://www.econbiz.de/10013119773

Systemic Risks in Global Banking : What Available Data Can Tell Us and What More Data are Needed?

Cerutti, Eugenio M. - 2012

The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...

Persistent link: https://www.econbiz.de/10013098136

Challenges in Identifying and Measuring Systemic Risk

Hansen, Lars Peter - 2012

on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …

Persistent link: https://www.econbiz.de/10013098478

Tracking Variation in Systemic Risk at Us Banks During 1974-2013

Hovakimian, Armen - 2012

This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data. The measure models the credit enhancement taxpayers provide to individual banks in the Merton tradition (1974) as...

Persistent link: https://www.econbiz.de/10013107012

Systemic Risk Exposures : a 10-by-10-by-10 Approach

Duffie, Darrell - 2013

Here, I present and discuss a "10-by-10-by-10" network-based approach to monitoring systemic financial risk. Under this approach, a regulator would analyze the exposures of a core group of systemically important financial firms to a list of stressful scenarios, say 10 in number. For each...

Persistent link: https://www.econbiz.de/10013092573

The Quantification of Systemic Risk and Stability : New Methods and Measures

Duffey, Romney B. - 2011

We address the question of the prediction of large failures, busts, or system collapse, and the necessary concepts related to risk quantification, minimization and management. Answering this question requires a new approach since predictions using standard financial techniques and statistical...

Persistent link: https://www.econbiz.de/10013125574