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Systemic Risk: a Network Approach

Jean-Baptiste Hasse

No 2025, AMSE Working Papers from Aix-Marseille School of Economics, France

Abstract: We propose a new measure of systemic risk based on interconnectedness, defined as the level of direct and indirect links between financial institutions in a correlation-based network. Deriving interconnectedness in terms of risk, we empirically show that within a financial network, indirect links are strengthened during systemic events. The relevance of our measure is illustrated at both local and global levels. Our framework offers policymakers a useful toolbox for exploring the real-time topology of the complex structure of dependencies in financial systems and for measuring the consequences of regulatory decisions.

Keywords: financial networks; interconnectedness; systemic risk; spillover (search for similar items in EconPapers)
JEL-codes: G01 G15 G21 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2020-07
New Economics Papers: this item is included in nep-ban, nep-fmk, nep-net and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:2025

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