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How to measure interconnectedness between banks, insurers and financial conglomerates?

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  • Hauton, G.
  • Héam, J.-C.

Abstract

Interconnectedness of financial institutions is a key component of systemic risk. Monitoring interconnectedness is therefore on all supervisors’ agenda. However, there is still no consensus on the best way to assess it. Using a unique dataset on the exposure network of French financial institutions, we implement various measurement strategies and show that they capture different dimensions of interconnectedness. Our results suggest that some characteristics of the interconnectedness can only be assessed using contagion stress test models.

Suggested Citation

  • Hauton, G. & Héam, J.-C., 2015. "How to measure interconnectedness between banks, insurers and financial conglomerates?," Rue de la Banque, Banque de France, issue 04, March..
    • Handle: RePEc:bfr:rueban:2015:04
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    References listed on IDEAS

    as
    1. Craig, Ben & von Peter, Goetz, 2014. "Interbank tiering and money center banks," Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 322-347.
    2. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    3. C. Gouriéroux & J.‐C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1273-1309, November.
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