Systemic risk assessment through high order clustering coefficient
Roy Cerqueti (),
Gian Paolo Clemente () and
Rosanna Grassi ()
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Roy Cerqueti: Sapienza University of Rome
Gian Paolo Clemente: Universitá Cattolica del Sacro Cuore
Rosanna Grassi: University of Milano - Bicocca
Annals of Operations Research, 2021, vol. 299, issue 1, No 46, 1165-1187
Abstract In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours around the nodes of the network. The proposed measure incorporates the generalized concept of clustering coefficient of order l of a node i introduced in Cerqueti et al. (2018). Its properties are also explored in terms of systemic risk assessment. Empirical experiments on the time-varying global banking network show the effectiveness of the presented systemic risk measure and provide insights on how systemic risk has changed over the last years, also in the light of the recent financial crisis and the subsequent more stringent regulation for globally systemically important banks.
Keywords: Systemic risk; Clustering coefficient; Community structures; Network analysis; Cross-border banking (search for similar items in EconPapers)
JEL-codes: C02 G20 G28 (search for similar items in EconPapers)
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