Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash

Burak Saltoğlu and Taylan Yenilmez

MPRA Paper from University Library of Munich, Germany

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

Keywords: systemic risk; financial regulation; financial crisis; BASEL III; systemically important financial institution; Turkey; IMF (search for similar items in EconPapers)
JEL-codes: C01 C45 D53 D85 F47 G01 (search for similar items in EconPapers)
Date: 2010-11-14
New Economics Papers: this item is included in nep-ara, nep-ban, nep-cwa, nep-reg and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:26684

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