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Early-warning signals of topological collapse in interbank networks

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Cited by:

  1. Di Gangi, Domenico & Lazarov, Vladimir & Mankodi, Aakash & Silvestri, Laura, 2022. "Links between government bond and futures markets: dealer-client relationships and price discovery in the UK," Bank of England working papers 991, Bank of England.
  2. Anouk Levels & René de Sousa van Stralen & Sînziana Kroon Petrescu & Iman van Lelyveld, 2018. "CDS market structure and risk flows: the Dutch case," DNB Working Papers 592, Netherlands Central Bank, Research Department.
  3. Yu, Jia-Wei & Xie, Wen-Jie & Jiang, Zhi-Qiang, 2018. "Early warning model based on correlated networks in global crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1335-1343.
  4. Linardi, Fernando & Diks, Cees & van der Leij, Marco & Lazier, Iuri, 2020. "Dynamic interbank network analysis using latent space models," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  5. Sebastiano Michele Zema, 2023. "Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data," Empirical Economics, Springer, vol. 65(4), pages 1799-1822, October.
  6. Lumsdaine, R.L. & Rockmore, D.N. & Foti, N.J. & Leibon, G. & Farmer, J.D., 2021. "The intrafirm complexity of systemically important financial institutions," Journal of Financial Stability, Elsevier, vol. 52(C).
  7. Franco Ruzzenenti & Andreas Joseph & Elisa Ticci & Pietro Vozzella & Giampaolo Gabbi, 2015. "Interactions between Financial and Environmental Networks in OECD Countries," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-12, September.
  8. Xiangyang Guan & Cynthia Chen & Dan Work, 2016. "Tracking the Evolution of Infrastructure Systems and Mass Responses Using Publically Available Data," PLOS ONE, Public Library of Science, vol. 11(12), pages 1-17, December.
  9. Valentina Macchiati & Piero Mazzarisi & Diego Garlaschelli, 2024. "Interbank network reconstruction enforcing density and reciprocity," Papers 2402.11136, arXiv.org.
  10. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
  11. Fabio Saracco & Riccardo Di Clemente & Andrea Gabrielli & Tiziano Squartini, 2015. "Detecting early signs of the 2007-2008 crisis in the world trade," Papers 1508.03533, arXiv.org, revised Jul 2016.
  12. L. Bargigli & G. di Iasio & L. Infante & F. Lillo & F. Pierobon, 2015. "The multiplex structure of interbank networks," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 673-691, April.
  13. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
  14. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
  15. Ismail, Mohd Sabri & Noorani, Mohd Salmi Md & Ismail, Munira & Razak, Fatimah Abdul & Alias, Mohd Almie, 2022. "Early warning signals of financial crises using persistent homology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
  16. Battiston Stefano & Caldarelli Guido & D’Errico Marco & Gurciullo Stefano, 2016. "Leveraging the network: A stress-test framework based on DebtRank," Statistics & Risk Modeling, De Gruyter, vol. 33(3-4), pages 117-138, December.
  17. Spelta, A. & Pecora, N. & Rovira Kaltwasser, P., 2019. "Identifying Systemically Important Banks: A temporal approach for macroprudential policies," Journal of Policy Modeling, Elsevier, vol. 41(1), pages 197-218.
  18. Ronald Heijmans & Chen Zhou, 2019. "Outlier detection in TARGET2 risk indicators," DNB Working Papers 624, Netherlands Central Bank, Research Department.
  19. Song, Jae Wook & Ko, Bonggyun & Cho, Poongjin & Chang, Woojin, 2016. "Time-varying causal network of the Korean financial system based on firm-specific risk premiums," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 287-302.
  20. Rick Quax & Gregor Chliamovitch & Alexandre Dupuis & Jean-Luc Falcone & Bastien Chopard & Alfons G. Hoekstra & Peter M. A. Sloot, 2018. "Information Processing Features Can Detect Behavioral Regimes of Dynamical Systems," Complexity, Hindawi, vol. 2018, pages 1-16, April.
  21. Hauton Gaël & Héam Jean-Cyprien, 2016. "How to measure interconnectedness between banks, insurers and financial conglomerates," Statistics & Risk Modeling, De Gruyter, vol. 33(3-4), pages 95-116, December.
  22. Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016. "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 42-59.
  23. Iori, Giulia & Mantegna, Rosario N. & Marotta, Luca & Miccichè, Salvatore & Porter, James & Tumminello, Michele, 2015. "Networked relationships in the e-MID interbank market: A trading model with memory," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 98-116.
  24. G. Hauton & J.-C. Héam, 2014. "How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?," Débats économiques et financiers 15, Banque de France.
  25. Alessandro Spelta, 2016. "A unfi ed view of systemic risk: detecting SIFIs and forecasting the fi nancial cycle via EWSs," DISCE - Working Papers del Dipartimento di Economia e Finanza def036, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  26. Caceres-Santos, Jonnathan & Rodriguez-Martinez, Anahi & Caccioli, Fabio & Martinez-Jaramillo, Serafin, 2020. "Systemic risk and other interdependencies among banks in Bolivia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  27. Pagnottoni, Paolo & Spelta, Alessandro, 2023. "The motifs of risk transmission in multivariate time series: Application to commodity prices," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
  28. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.
  29. Carlos León & Javier Miguélez, 2021. "Securities cross-holding in the Colombian financial system: a topological approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 786-806, February.
  30. Ron Berndsen & Ronald Heijmans, 2017. "Risk indicators for financial market infrastructure: from high frequency transaction data to a traffic light signal," DNB Working Papers 557, Netherlands Central Bank, Research Department.
  31. Flood, Mark D. & Kenett, Dror Y. & Lumsdaine, Robin L. & Simon, Jonathan K., 2020. "The Complexity of Bank Holding Companies: A Topological Approach," Journal of Banking & Finance, Elsevier, vol. 118(C).
  32. Andry Alamsyah & Dian Puteri Ramadhani & Farida Titik Kristanti & Khairunnisa Khairunnisa, 2022. "Transaction Network Structural Shift under Crisis: Macro and Micro Perspectives," Economies, MDPI, vol. 10(3), pages 1-12, February.
  33. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
  34. Timmermans, M. & Heijmans, R. & Daniels, Hennie, 2017. "Cyclical patterns in risk indicators based on financial market infrastructure transaction data," Other publications TiSEM b1c76cf9-cbdb-436c-8420-4, Tilburg University, School of Economics and Management.
  35. Lin, Li & Guo, Xin-Yu, 2019. "Identifying fragility for the stock market: Perspective from the portfolio overlaps network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 132-151.
  36. Carlos León & Javier Miguélez, 2020. "Interbank relationship lending in Colombia," Borradores de Economia 1118, Banco de la Republica de Colombia.
  37. Guo, Hongfeng & Xia, Shengxiang & An, Qiguang & Zhang, Xin & Sun, Weihua & Zhao, Xinyao, 2020. "Empirical study of financial crises based on topological data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
  38. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
  39. Alexandre Bovet & Carlo Campajola & Jorge F. Lazo & Francesco Mottes & Iacopo Pozzana & Valerio Restocchi & Pietro Saggese & Nicol'o Vallarano & Tiziano Squartini & Claudio J. Tessone, 2018. "Network-based indicators of Bitcoin bubbles," Papers 1805.04460, arXiv.org.
  40. Luu, Duc Thi & Lux, Thomas & Yanovski, Boyan, 2017. "Structural correlations in the Italian overnight money market: An analysis based on network configuration models," Economics Working Papers 2017-02, Christian-Albrechts-University of Kiel, Department of Economics.
  41. Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
  42. 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.
  43. Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org, revised Jul 2018.
  44. Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
  45. Toshiyuki Sakiyama & Tetsuya Yamada, 2016. "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series 16-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  46. Carolina Becatti & Guido Caldarelli & Renaud Lambiotte & Fabio Saracco, 2019. "Extracting significant signal of news consumption from social networks: the case of Twitter in Italian political elections," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-16, December.
  47. León, Carlos & Miguélez, Javier, 2021. "Interbank relationship lending: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
  48. Georg Jäger & Christian Hofer & Marie Kapeller & Manfred Füllsack, 2017. "Hidden early-warning signals in scale-free networks," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-14, December.
  49. Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
  50. Gangwal, Utkarsh & Singh, Mayank & Pandey, Pradumn Kumar & Kamboj, Deepak & Chatterjee, Samrat & Bhatia, Udit, 2022. "Identifying early-warning indicators of onset of sudden collapse in networked infrastructure systems against sequential disruptions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 591(C).
  51. Zema, Sebastiano Michele, 2022. "Uncovering the network structure of non-centrally cleared derivative markets: evidences from regulatory data," Working Paper Series 2721, European Central Bank.
  52. Mark D. Flood & Dror Y. Kenett & Robin L. Lumsdaine & Jonathan J. Simon, 2017. "The Complexity of Bank Holding Companies: A New Measurement Approach," Working Papers 17-03, Office of Financial Research, US Department of the Treasury.
  53. Jeroen van Lidth de Jeude & Riccardo Di Clemente & Guido Caldarelli & Fabio Saracco & Tiziano Squartini, 2019. "Reconstructing Mesoscale Network Structures," Complexity, Hindawi, vol. 2019, pages 1-13, January.
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