Publication
The recent global financial crisis has triggered a huge interest in the use of network concepts and network tools to better understand how instabilities can propagate through the financial system. The literature is today quite vast, covering both theoretical and empirical aspects. This review concentrates on empirical work, and associated methodologies, concerned with the evaluation of the fragility and resilience of financial and credit markets.
The first part of the review examines the literature on systemic risk that arise from banks mutual exposures. These exposures stem primarily from interbank lending and derivative positions, but also, indirectly, from common holdings of other asset classes, that can lead to common shocks in instances of fire sales, and from widespread non-performing loans to the real sector during period of economic downturns. We survey (a) studies that characterize the structure of national interbank networks, in some cases using a multiplex representations, (b) studies that introduce novel methods to quantify systemic risk and identify systemically important institutions, such as via stress test scenarios, (c) studies that assess which regulatory measures can help mitigate the propagation of contagion and distress in the financial system, and (d) studies that explore which location advantages may arise from holding privileged positions in the interbank network, such as via preferential lending relationships, or because of occupying a more central node, and if such advantages can provide an early indication of the build up of systemic risk.
The second part of the review is dedicated to the analysis of indirect networks, specifically (e) proximity based network, i.e. networks obtained starting from a proximity measure sometime filtered with a network filtering methodology, (f) association network, i.e. networks where a link between two financial actors is set if a statistical test again a null hypothesis is rejected, and (g) statistically validated networks, i.e. event or relationship networks where a subset of links is selected according to a statistical validation associated with the rejection of a random null hypothesis. The need for a joint consideration of direct and indirect channels of contagion is briefly discussed.
G. Iori, R. Mantegna, Empirical Analyses of Networks in Finance, in: Handbook of Computational Economics Vol 4 (2018) 637–685
Related
Signup
Cookie | Duration | Description |
---|---|---|
cookielawinfo-checkbox-analytics | 1 year | Set by the GDPR Cookie Consent plugin, this cookie records the user consent for the cookies in the "Analytics" category. |
cookielawinfo-checkbox-functional | 1 year | The GDPR Cookie Consent plugin sets the cookie to record the user consent for the cookies in the category "Functional". |
cookielawinfo-checkbox-necessary | 1 year | Set by the GDPR Cookie Consent plugin, this cookie records the user consent for the cookies in the "Necessary" category. |
CookieLawInfoConsent | 1 year | CookieYes sets this cookie to record the default button state of the corresponding category and the status of CCPA. It works only in coordination with the primary cookie. |
PHPSESSID | session | This cookie is native to PHP applications. The cookie stores and identifies a user's unique session ID to manage user sessions on the website. The cookie is a session cookie and will be deleted when all the browser windows are closed. |
viewed_cookie_policy | 1 year | The GDPR Cookie Consent plugin sets the cookie to store whether or not the user has consented to use cookies. It does not store any personal data. |
Cookie | Duration | Description |
---|---|---|
mec_cart | 1 month | Provides functionality for our ticket shop |
VISITOR_INFO1_LIVE | 6 months | YouTube sets this cookie to measure bandwidth, determining whether the user gets the new or old player interface. |
VISITOR_PRIVACY_METADATA | 6 months | YouTube sets this cookie to store the user's cookie consent state for the current domain. |
YSC | session | Youtube sets this cookie to track the views of embedded videos on Youtube pages. |
yt-remote-connected-devices | never | YouTube sets this cookie to store the user's video preferences using embedded YouTube videos. |
yt-remote-device-id | never | YouTube sets this cookie to store the user's video preferences using embedded YouTube videos. |
yt.innertube::nextId | never | YouTube sets this cookie to register a unique ID to store data on what videos from YouTube the user has seen. |
yt.innertube::requests | never | YouTube sets this cookie to register a unique ID to store data on what videos from YouTube the user has seen. |
Cookie | Duration | Description |
---|---|---|
_ga | 1 year | Google Analytics sets this cookie to calculate visitor, session and campaign data and track site usage for the site's analytics report. The cookie stores information anonymously and assigns a randomly generated number to recognise unique visitors. |
_ga_* | 1 year | Google Analytics sets this cookie to store and count page views. |
_gat_gtag_UA_* | 1 min | Google Analytics sets this cookie to store a unique user ID. |
_gid | 1 day | Google Analytics sets this cookie to store information on how visitors use a website while also creating an analytics report of the website's performance. Some of the collected data includes the number of visitors, their source, and the pages they visit anonymously. |