Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment

Roy Cerqueti, Francesca Pampurini, Anna Grazia Quaranta and Saverio Storani

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: The analysis of monetary flows’ correlation resulting from clients’ mutual transactions is crucial for small/local banks in assessing customers’ creditworthiness. This paper offers a new method based on a complex network (customers are the nodes and their mutual financial flows the links). We detect the presence of vulnerable and dangerous clients within the contagion and propagation of external shocks mechanisms and exploit the informative content of the in- and out-paths of the network, with specific reference to those associated with the geodesic patterns. We test the model over a high-quality dataset referred to 2021. The results might support banks’ customers’ creditworthiness analysis.

Keywords: Creditworthiness; Complex networks; Systemic fragility; Risk transmission (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324000916
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916

DOI: 10.1016/j.frl.2024.105061

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().