Contagion Systemic Risk In Financial Networks

Contagion Systemic Risk In Financial Networks Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Contagion Systemic Risk In Financial Networks book. This book definitely worth reading, it is an incredibly well-written.

Contagion! Systemic Risk in Financial Networks

T. R. Hurd
Contagion Systemic Risk in Financial Networks Book PDF

Author : T. R. Hurd
Publisher : Springer
Page : 139 pages
File Size : 42,9 Mb
Release : 2016-05-25
Category : Mathematics
ISBN : 9783319339306

Get Book

Contagion! Systemic Risk in Financial Networks by T. R. Hurd Pdf

This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying other complex systems in our world. After considering how people have viewed financial crises and systemic risk in the past, it delves into the mechanics of the interactions between banking counterparties. It finds a common mathematical structure for types of crises that proceed through cascade mappings that approach a cascade equilibrium. Later chapters follow this theme, starting from the underlying random skeleton graph, developing into the theory of bootstrap percolation, ultimately leading to techniques that can determine the large scale nature of contagious financial cascades.

Handbook on Systemic Risk

Jean-Pierre Fouque,Joseph A. Langsam
Handbook on Systemic Risk Book PDF

Author : Jean-Pierre Fouque,Joseph A. Langsam
Publisher : Cambridge University Press
Page : 993 pages
File Size : 48,6 Mb
Release : 2013-05-23
Category : Business & Economics
ISBN : 9781107023437

Get Book

Handbook on Systemic Risk by Jean-Pierre Fouque,Joseph A. Langsam Pdf

The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.

Systemic Risk from Global Financial Derivatives

Ms.Sheri M. Markose
Systemic Risk from Global Financial Derivatives Book PDF

Author : Ms.Sheri M. Markose
Publisher : International Monetary Fund
Page : 58 pages
File Size : 48,9 Mb
Release : 2012-11-30
Category : Business & Economics
ISBN : 9781475577501

Get Book

Systemic Risk from Global Financial Derivatives by Ms.Sheri M. Markose Pdf

Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation, and also monitor and design ways of increasing robustness in the network. Based on 2009 FDIC and individually collected firm level data covering gross notional, gross positive (negative) fair value and the netted derivatives assets and liabilities for 202 financial firms which includes 20 SIFIs, the bilateral flows are empirically calibrated to reflect data-based constraints. This produces a tiered network with a distinct highly clustered central core of 12 SIFIs that account for 78 percent of all bilateral exposures and a large number of financial intermediaries (FIs) on the periphery. The topology of the network results in the “Too- Interconnected-To-Fail” (TITF) phenomenon in that the failure of any member of the central tier will bring down other members with the contagion coming to an abrupt end when the ‘super-spreaders’ have demised. As these SIFIs account for the bulk of capital in the system, ipso facto no bank among the top tier can be allowed to fail, highlighting the untenable implicit socialized guarantees needed for these markets to operate at their current levels. Systemic risk costs of highly connected SIFIs nodes are not priced into their holding of capital or collateral. An eigenvector centrality based ‘super-spreader’ tax has been designed and tested for its capacity to reduce the potential socialized losses from failure of SIFIs.

Evolution of the Global Financial Network and Contagion: A New Approach

Ms.Yevgeniya Korniyenko,Manasa Patnam,Rita Maria del Rio-Chanon,Mason A. Porter
Evolution of the Global Financial Network and Contagion A New Approach Book PDF

Author : Ms.Yevgeniya Korniyenko,Manasa Patnam,Rita Maria del Rio-Chanon,Mason A. Porter
Publisher : International Monetary Fund
Page : 41 pages
File Size : 43,5 Mb
Release : 2018-05-15
Category : Business & Economics
ISBN : 9781484353240

Get Book

Evolution of the Global Financial Network and Contagion: A New Approach by Ms.Yevgeniya Korniyenko,Manasa Patnam,Rita Maria del Rio-Chanon,Mason A. Porter Pdf

This paper studies the interconnectedness of the global financial system and its susceptibility to shocks. A novel multilayer network framework is applied to link debt and equity exposures across countries. Use of this approach—that examines simultaneously multiple channels of transmission and their important higher order effects—shows that ignoring the heterogeneity of financial exposures, and simply aggregating all claims, as often done in other studies, can underestimate the extent and effects of financial contagion.The structure of the global financial network has changed since the global financial crisis, impacted by European bank’s deleveraging and higher corporate debt issuance. Still, we find that the structure of the system and contagion remain similar in that network is highly susceptible to shocks from central countries and those with large financial systems (e.g., the USA and the UK). While, individual European countries (excluding the UK) have relatively low impact on shock propagation, the network is highly susceptible to the shocks from the entire euro area. Another important development is the rising role of the Asian countries and the noticeable increase in network susceptibility to shocks from China and Hong Kong SAR economies.

Switzerland

International Monetary Fund. Monetary and Capital Markets Department
Switzerland Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 42 pages
File Size : 41,7 Mb
Release : 2014-09-03
Category : Business & Economics
ISBN : 9781498353922

Get Book

Switzerland by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Technical Note on Systemic Risk and Contagion Analysis on Switzerland summarizes the systemic risk and contagion analysis undertaken for the Swiss financial system as part of the Financial Sector Assessment Program (FSAP) Update. Contagion risks arising from interbank exposures in Switzerland appear to be contained. This analysis shows only moderate effects, consistent with restrictions imposed by the Swiss ‘large exposure rules’ currently in place, and no material second round effects will materialize within the domestic interbank market. In terms of bank groups, domestic interbank exposure risks appear to be moderate for most banks, but a few small private banks and banks specialized in asset management appear to be somewhat vulnerable. The international contagion analysis suggests that global contagion risks among Global Systemically Important Financial Institutions and the large Swiss financial institutions appear to be currently contained. The systematic risk analysis shows that the relative contribution of domestically oriented banks to systemic risk is increasing. The bank-sovereign contagion analysis suggests that increases in banks capital buffers have contributed positively to limit contagion risks.

Risk Topography

Markus Brunnermeier,Arvind Krishnamurthy
Risk Topography Book PDF

Author : Markus Brunnermeier,Arvind Krishnamurthy
Publisher : University of Chicago Press
Page : 288 pages
File Size : 46,6 Mb
Release : 2014-10-17
Category : Business & Economics
ISBN : 9780226092645

Get Book

Risk Topography by Markus Brunnermeier,Arvind Krishnamurthy Pdf

The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.

Systemic Risk

Prasanna Gai
Systemic Risk Book PDF

Author : Prasanna Gai
Publisher : Oxford University Press
Page : 147 pages
File Size : 55,5 Mb
Release : 2013-03-28
Category : Business & Economics
ISBN : 9780199544493

Get Book

Systemic Risk by Prasanna Gai Pdf

This book applies some of the lessons from network disciplines - such as ecology, epidemiology, and engineering - to study and measure how small probability events can lead to contagion and banking crises on a global scale.

The Network Challenge (Chapter 21)

Franklin Allen,Ana Babus
The Network Challenge Chapter 21 Book PDF

Author : Franklin Allen,Ana Babus
Publisher : Pearson Education
Page : 38 pages
File Size : 48,8 Mb
Release : 2009-05-19
Category : Business & Economics
ISBN : 9780137015511

Get Book

The Network Challenge (Chapter 21) by Franklin Allen,Ana Babus Pdf

Modern financial systems exhibit a high degree of interdependence, with connections between financial institutions stemming from both the asset and the liability sides of their balance sheets. Networks--broadly understood as a collection of nodes and links between nodes--can be a useful representation of financial systems. By modeling economic interactions, network analysis can better explain certain economic phenomena. In this chapter, Allen and Babus argue that the use of network theories can enrich our understanding of financial systems. They explore several critical issues. First, they address the issue of systemic risk, by studying two questions: how resilient financial networks are to contagion, and how financial institutions form connections when exposed to the risk of contagion. Second, they consider how network theory can be used to explain freezes in the interbank market. Third, they examine how social networks can improve investment decisions and corporate governance, based on recent empirical results. Fourth, they examine the role of networks in distributing primary issues of securities. Finally, they consider the role of networks as a form of mutual monitoring, as in microfinance.

Networks in Finance

Franklin Allen
Networks in Finance Book PDF

Author : Franklin Allen
Publisher : Unknown
Page : 20 pages
File Size : 55,6 Mb
Release : 2011
Category : Electronic
ISBN : OCLC:1290242538

Get Book

Networks in Finance by Franklin Allen Pdf

Modern financial systems exhibit a high degree of interdependence. There are different possible sources of connections between financial institutions, stemming from both the asset and the liability side of their balance sheet. For instance, banks are directly connected through mutual exposures acquired on the interbank market. Likewise, holding similar portfolios or sharing the same mass of depositors creates indirect linkages between financial institutions. Broadly understood as a collection of nodes and links between nodes, networks can be a useful representation of financial systems. By providing means to model the specifics of economic interactions, network analysis can better explain certain economic phenomena. In this paper we argue that the use of network theories can enrich our understanding of financial systems. We review the recent developments in financial networks, highlighting the synergies created from applying network theory to answer financial questions. Further, we propose several directions of research. First, we consider the issue of systemic risk. In this context, two questions arise: how resilient financial networks are to contagion, and how financial institutions form connections when exposed to the risk of contagion. The second issue we consider is how network theory can be used to explain freezes in the interbank market of the type we have observed in August 2007 and subsequently. The third issue is how social networks can improve investment decisions and corporate governance. Recent empirical work has provided some interesting results in this regard. The fourth issue concerns the role of networks in distributing primary issues of securities as, for example, in initial public offerings, or seasoned debt and equity issues. Finally, we consider the role of networks as a form of mutual monitoring as in microfinance.

CoMap: Mapping Contagion in the Euro Area Banking Sector

Mehmet Ziya Gorpe,Giovanni Covi,Christoffer Kok
CoMap Mapping Contagion in the Euro Area Banking Sector Book PDF

Author : Mehmet Ziya Gorpe,Giovanni Covi,Christoffer Kok
Publisher : International Monetary Fund
Page : 63 pages
File Size : 48,8 Mb
Release : 2019-05-10
Category : Business & Economics
ISBN : 9781498312073

Get Book

CoMap: Mapping Contagion in the Euro Area Banking Sector by Mehmet Ziya Gorpe,Giovanni Covi,Christoffer Kok Pdf

This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Computational Science — ICCS 2004

Marian Bubak,Geert Dick van Albada,Peter M.A. Sloot,Jack Dongarra
Computational Science ICCS 2004 Book PDF

Author : Marian Bubak,Geert Dick van Albada,Peter M.A. Sloot,Jack Dongarra
Publisher : Springer Science & Business Media
Page : 1376 pages
File Size : 40,6 Mb
Release : 2004-05-26
Category : Computers
ISBN : 9783540221166

Get Book

Computational Science — ICCS 2004 by Marian Bubak,Geert Dick van Albada,Peter M.A. Sloot,Jack Dongarra Pdf

The International Conference on Computational Science (ICCS 2004) held in Krak ́ ow, Poland, June 6–9, 2004, was a follow-up to the highly successful ICCS 2003 held at two locations, in Melbourne, Australia and St. Petersburg, Russia; ICCS 2002 in Amsterdam, The Netherlands; and ICCS 2001 in San Francisco, USA. As computational science is still evolving in its quest for subjects of inves- gation and e?cient methods, ICCS 2004 was devised as a forum for scientists from mathematics and computer science, as the basic computing disciplines and application areas, interested in advanced computational methods for physics, chemistry, life sciences, engineering, arts and humanities, as well as computer system vendors and software developers. The main objective of this conference was to discuss problems and solutions in all areas, to identify new issues, to shape future directions of research, and to help users apply various advanced computational techniques. The event harvested recent developments in com- tationalgridsandnextgenerationcomputingsystems,tools,advancednumerical methods, data-driven systems, and novel application ?elds, such as complex - stems, ?nance, econo-physics and population evolution.

Connectedness and Contagion

Hal S. Scott
Connectedness and Contagion Book PDF

Author : Hal S. Scott
Publisher : MIT Press
Page : 439 pages
File Size : 42,8 Mb
Release : 2016-05-13
Category : Business & Economics
ISBN : 9780262332163

Get Book

Connectedness and Contagion by Hal S. Scott Pdf

An argument that contagion is the most significant risk facing the financial system and that Dodd¬Frank has reduced the government's ability to respond effectively. The Dodd–Frank Act of 2010 was intended to reform financial policies in order to prevent another massive crisis such as the financial meltdown of 2008. Dodd–Frank is largely premised on the diagnosis that connectedness was the major problem in that crisis—that is, that financial institutions were overexposed to one another, resulting in a possible chain reaction of failures. In this book, Hal Scott argues that it is not connectedness but contagion that is the most significant element of systemic risk facing the financial system. Contagion is an indiscriminate run by short-term creditors of financial institutions that can render otherwise solvent institutions insolvent. It poses a serious risk because, as Scott explains, our financial system still depends on approximately $7.4 to $8.2 trillion of runnable and uninsured short-term liabilities, 60 percent of which are held by nonbanks. Scott argues that efforts by the Federal Reserve, the FDIC, and the Treasury to stop the contagion that exploded after the bankruptcy of Lehman Brothers lessened the economic damage. And yet Congress, spurred by the public's aversion to bailouts, has dramatically weakened the power of the government to respond to contagion, including limitations on the Fed's powers as a lender of last resort. Offering uniquely detailed forensic analyses of the Lehman Brothers and AIG failures, and suggesting alternative regulatory approaches, Scott makes the case that we need to restore and strengthen our weapons for fighting contagion.

The Financial Crisis Inquiry Report

Financial Crisis Inquiry Commission
The Financial Crisis Inquiry Report Book PDF

Author : Financial Crisis Inquiry Commission
Publisher : Cosimo, Inc.
Page : 692 pages
File Size : 42,8 Mb
Release : 2011-05-01
Category : Political Science
ISBN : 9781616405410

Get Book

The Financial Crisis Inquiry Report by Financial Crisis Inquiry Commission Pdf

The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.

Bank Networks

Iñaki Aldasoro,Domenico Delli Gatti,Ester Faia,Centre for Economic Policy Research (Great Britain)
Bank Networks Book PDF

Author : Iñaki Aldasoro,Domenico Delli Gatti,Ester Faia,Centre for Economic Policy Research (Great Britain)
Publisher : Unknown
Page : 38 pages
File Size : 48,9 Mb
Release : 2015
Category : Banks and banking, International
ISBN : OCLC:907240052

Get Book

Bank Networks by Iñaki Aldasoro,Domenico Delli Gatti,Ester Faia,Centre for Economic Policy Research (Great Britain) Pdf

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank interlinkages and fire sale externalities. The resulting network configuration exhibits a core-periphery structure, dis-assortative behavior and low density. Within this framework we analyze the effects of prudential policies on the stability/efficiency trade-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate investment in non-liquid assets); equity requirements tend to reduce risk (hence increasestability) without reducing significantly overall investment.

Cross-Border Financial Surveillance

Marco A Espinosa-Vega,Mr.Juan Sole
Cross Border Financial Surveillance Book PDF

Author : Marco A Espinosa-Vega,Mr.Juan Sole
Publisher : International Monetary Fund
Page : 29 pages
File Size : 41,8 Mb
Release : 2010-04-01
Category : Business & Economics
ISBN : 9781455200641

Get Book

Cross-Border Financial Surveillance by Marco A Espinosa-Vega,Mr.Juan Sole Pdf

Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.