Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash Report as inadecuate




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Abstract

A financial network model, where the coded identity of the counterparties of every trade is known, isapplied to both stable and crisis periods in a large and liquid overnight repo market in an emergingmarket economy. We have analyzed the financial crisis by using various network investigation toolssuch as links, interconnectivity, and reciprocity. In addition, we proposed a centrality measure tomonitor and detect the ‘systemically important financial institution’ in the financial system. We haveshown that our measure gives strong signals much before the crisis.



Item Type: MPRA Paper -

Original Title: Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash-

English Title: Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash-

Language: English-

Keywords: systemic risk, financial regulation, financial crisis, BASEL III,systemically important financial institution, Turkey, IMF-

Subjects: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D53 - Financial MarketsC - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related TopicsF - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and ApplicationsD - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D85 - Network Formation and Analysis: TheoryC - Mathematical and Quantitative Methods > C0 - General > C01 - EconometricsG - Financial Economics > G0 - General > G01 - Financial Crises-





Author: Saltoglu, Burak

Source: https://mpra.ub.uni-muenchen.de/26684/







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