Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash
AbstractA financial network model, where the coded identity of the counterparties of every trade is known, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. We have analyzed the financial crisis by using various network investigation tools such as links, interconnectivity, and reciprocity. In addition, we proposed a centrality measure to monitor and detect the ‘systemically important financial institution’ in the financial system. We have shown that our measure gives strong signals much before the crisis.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 26684.
Date of creation: 14 Nov 2010
Date of revision:
systemic risk; financial regulation; financial crisis; BASEL III; systemically important financial institution; Turkey; IMF;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-ARA-2010-11-20 (MENA - Middle East & North Africa)
- NEP-BAN-2010-11-20 (Banking)
- NEP-CWA-2010-11-20 (Central & Western Asia)
- NEP-REG-2010-11-20 (Regulation)
- NEP-RMG-2010-11-20 (Risk Management)
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