EconPapers    
Economics at your fingertips  
 

Systemic Risk: a Network Approach

Jean-Baptiste Hasse
Additional contact information
Jean-Baptiste Hasse: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

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)
Date: 2020-06
New Economics Papers: this item is included in nep-net and nep-rmg
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02893780
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-02893780/document (application/pdf)

Related works:
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:hal:wpaper:halshs-02893780

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-01-30
Handle: RePEc:hal:wpaper:halshs-02893780