EconPapers    
Economics at your fingertips  
 

Key Borrowers Detection by Long-Range Interactions

Fuad Aleskerov (), Natalia Meshcheryakova, Alisa Nikitina and Sergey Shvydun

Papers from arXiv.org

Abstract: We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it considers not only direct interactions of agents of the first level and indirect interactions of the second level, but also long-range indirect interactions. At the same time we take into account the attributes of agents as well as the possibility of impact to a single agent from a group of other agents. This approach helps us to identify systemically important elements which cannot be detected by classical centrality measures or other indices. The proposed method was used to analyze the banking foreign claims for the end of 1Q 2015. Under the approach, two types of key borrowers were detected: a) major players with high ratings and positive credit history; b) intermediary players, which have a great scale of financial activities through the organization of favorable investment conditions and positive business climate.

New Economics Papers: this item is included in nep-rmg
Date: 2018-06
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in National research university Higher School of economics. Series WP BRP "Basic research program". 2016. No. 56

Downloads: (external link)
http://arxiv.org/pdf/1807.10115 Latest version (application/pdf)

Related works:
Working Paper: Key Borrowers Detection by Long-Range Interactions (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.10115

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-10-27
Handle: RePEc:arx:papers:1807.10115