Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks

Benjamin Tabak, M. Takami, J. Rocha and Daniel Cajueiro

No 249, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that the directed clustering coefficient may be used as a measure of systemic risk in complex networks. Furthermore, using data from the Brazilian bank interbank network, we show that the directed clustering coefficient is negatively correlated with domestic interest rates.

Date: 2011-08
New Economics Papers: this item is included in nep-ban and nep-net
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Citations: View citations in EconPapers (8)

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Journal Article: Directed clustering coefficient as a measure of systemic risk in complex banking networks (2014)
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