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Directed clustering coefficient as a measure of systemic risk in complex banking networks

Author

Listed:
  • Tabak, Benjamin M.
  • Takami, Marcelo
  • Rocha, Jadson M.C.
  • Cajueiro, Daniel O.
  • Souza, Sergio R.S.

Abstract

Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that the directed clustering coefficient may be used as a measure of systemic risk in complex networks. Furthermore, using data from the Brazilian interbank network, we show that the directed clustering coefficient is negatively correlated with domestic interest rates.

Suggested Citation

  • Tabak, Benjamin M. & Takami, Marcelo & Rocha, Jadson M.C. & Cajueiro, Daniel O. & Souza, Sergio R.S., 2014. "Directed clustering coefficient as a measure of systemic risk in complex banking networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 211-216.
    • Handle: RePEc:eee:phsmap:v:394:y:2014:i:c:p:211-216
    DOI: 10.1016/j.physa.2013.09.010
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