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A survey of network-based analysis and systemic risk measurement

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  • Andre R. Neveu

    (James Madison University)

Abstract

The financial crisis led to a number of new systemic risk measures and a renewed concern over the risk of contagion. This paper surveys the systemic risk literature with a focus on the importance of contributions made by those emphasizing a network-based approach, and how that compares with more commonly used approaches. Research on systemic risk has generally found that the risk of contagion through domino effects is minimal, and thus emphasized focusing on the resiliency of the financial system to broad macroeconomic shocks. Theoretical, methodological, and empirical work is critically examined to provide insight on how and why regulators have emphasized deregulation, diversification, size-based regulations, and portfolio-based coherent systemic risk measures. Furthermore, in the context of network analysis, this paper reviews and critically assesses newly created systemic risk measures. Network analysis and agent-based modeling approaches to understanding network formation offer promise in helping understand contagion, and also detecting fragile systems before they collapse. Theory and evidence discussed here implies that regulators and researchers need to gain an improved understanding of how topology, capital requirements, and liquidity interact.

Suggested Citation

  • Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
  • Handle: RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-016-0182-z
    DOI: 10.1007/s11403-016-0182-z
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    Keywords

    Network analysis; Systemic risk; Financial market regulation; Complexity;
    All these keywords.

    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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