Network theory
Basel III has aided system stability, interbank models suggest
Model predicts future crashes will not be total wipeout
Op risk survey shows the insidious effects of political risk
Rise in geopolitical turmoil drives other risk factors, suggests a network analysis of 2017's survey
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Simulated banking system shows pros and cons of Basel III
Stability improves, but higher capital requirements also cut lending in new research
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
NetMES: a network based marginal expected shortfall measure
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Directors’ networks and firm valuation in a concentrated ownership structure economy
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
Dynamic visualization of large financial networks
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Close communications: hedge funds, brokers and the emergence of a consensus trade
This paper examines the network of communication practices among hedge fund managers.
Network theory takes root in post-crisis financial markets
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
Network centrality, failure prediction and systemic risk
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
European government bond dynamics and stability policies: taming contagion risks
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
Group lending to a borrower network: a partial joint liability model
This paper uses network theory to develop models for credit decisions in group lending schemes.
Too interconnected to fail: a survey of the interbank networks literature
This paper systematically reviews the theoretical literature on interbank networks.
Transmission of shocks in the integrated accounting framework
This paper develops a framework based on integrated national accounting data that aims to capture linkages between different sectors of the economy. The resulting framework provides a useful platform for static policy simulations and shock transmission…
The global network of payment flows
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
Granger-causal nonlinear financial networks
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…
A multiplex network analysis of the Mexican banking system: link persistence, overlap and waiting times
The paper provides very rich insight into the complex multiplex nature of the Mexican financial system and will help researchers understand and model how these networks interact in other countries where data at such a detailed level is not available.