Systemic importance of financial institutions: A complex network perspective

Xin Yang, Shigang Wen, Xian Zhao and Chuangxia Huang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 545, issue C

Abstract: This paper employs Clayton copula model to construct a lower tail network for 88 financial institutions in the USA from January 2006 to December 2018. Then, the corresponding minimal spanning tree(MST) map is generated. We find that the financial institution network is divided into 11 communities by community analysis, where the insurance institutions are identified as systemically important sectors. Furthermore, we investigate the systemic importance of financial institutions(SIFIs) by centrality measures, and find that the dominating institutions are J P Morgan Chase & Co, Raymond James Financial, Inc. and Prudential Financial, Inc. In addition, we use normalized tree length to identify financial crises, and it decreased sharply during the subprime crisis.

Keywords: Financial institution network; Subprime crisis; Clayton copula; Minimum spanning tree (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119319223

DOI: 10.1016/j.physa.2019.123448

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