How to measure interconnectedness between banks, insurers and financial conglomerates?

G. Hauton and J.-C. Héam

Rue de la Banque, 2015, issue 04

Abstract: Interconnectedness of financial institutions is a key component of systemic risk. Monitoring interconnectedness is therefore on all supervisors’ agenda. However, there is still no consensus on the best way to assess it. Using a unique dataset on the exposure network of French financial institutions, we implement various measurement strategies and show that they capture different dimensions of interconnectedness. Our results suggest that some characteristics of the interconnectedness can only be assessed using contagion stress test models.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:rueban:2015:04

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