Mapping bank securities across euro area sectors: comparing funding and exposure networks

Anne-Caroline Huser and Christoffer Kok

Journal of Network Theory in Finance

Abstract: In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach. Layers are broken down by key instruments, maturities and securitization. The paper compares and contrasts funding and exposure networks among banks and between banks, nonbanks and the wider economy using a unique data set of banking sector cross-holdings of securities. The analytical approach presented allows the identification of macroprudential risks, since it supports the identification of counterparty risk, concentration risk and funding risk within the interbank network and the wider macrofinancial network. The authors find that the network layers differ greatly according to topological measures and there is strong heterogeneity in the significance of banks in the different layers. Overall, in all layers, global systemically important banks (G-SIBs) are uniformly active and display an interconnectedness above the mean. Interestingly, they;also find that some banks not classified as G-SIBs exhibit similarly high interconnectedness.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ8:7411196

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