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A network characterization of the interbank exposures in Peru

Walter Cuba, Anahi Rodriguez-Martinez, Diego A. Chavez, Fabio Caccioli and Serafin Martinez-Jaramillo

Latin American Journal of Central Banking (previously Monetaria), 2021, vol. 2, issue 3

Abstract: After the Global Financial Crisis (GFC), systemic risk measurement became crucial for policy makers as well as for academics. We have witnessed an important increase in the number of methodologies proposed. Among such proposals, DebtRank arose as perhaps one of the most relevant in this context, as it resorts to network modeling and captures the all-important aspect of interconnectedness in the financial system. Additionally, within the network modeling approach, there is the multilayer approach, which provides additional insights on the decomposition of systemic risk. In this paper, we apply a multilayer network analysis to study systemic risk in the Peruvian banking system by utilizing DebtRank centrality. The main contributions of this work are as follows: i) It fully characterizes the multilayer exposure network of the Peruvian banking system, and ii) it obtains the systemic risk profile of the banking system according to different types of exposures.

Keywords: Financial networks; Systemic risk; Multiplex networks; Risk propagation (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.latcb.2021.100035

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Latin American Journal of Central Banking (previously Monetaria) is currently edited by Manuel Ramos-Francia

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