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Financial interbanking networks resilience under shocks propagation

Author

Listed:
  • Roy Cerqueti

    (Sapienza University of Rome
    GRANEM - Université d’Angers
    School of Business)

  • Matteo Cinelli

    (Sapienza University of Rome
    Italian National Research Council — Institute for Complex Systems)

  • Giovanna Ferraro

    (University of Parma)

  • Antonio Iovanella

    (Università degli Studi Internazionali di Roma - UNINT)

Abstract

The concept of resilience—i.e., the ability of a unified structure to absorb shocks—is of high relevance in the context of network modelling and analysis, mainly when referred to finance. This paper starts from this premise, and deals with the resilience of a financial interbanking system. At this aim, we firstly introduce a new measure of the resilience of a network, by taking into full consideration the influence of the topology of the network and the weights of its links in the shocks propagation; then, we build one financial network model related to the quarterly-based interbanking sector, whose weights are calibrated on high quality empirical data; lastly, we compute the resilience measure of the considered networks. A discussion of the results is provided, by considering both finance and network theory perspectives.

Suggested Citation

  • Roy Cerqueti & Matteo Cinelli & Giovanna Ferraro & Antonio Iovanella, 2023. "Financial interbanking networks resilience under shocks propagation," Annals of Operations Research, Springer, vol. 330(1), pages 389-409, November.
    • Handle: RePEc:spr:annopr:v:330:y:2023:i:1:d:10.1007_s10479-022-04567-w
    DOI: 10.1007/s10479-022-04567-w
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