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Multiplex interbank networks and systemic importance: An application to European data

Iñaki Aldasoro and Iván Alves

No 102 [rev.], SAFE Working Paper Series from Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt

Abstract: Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument type to characterise the main features of the multiplex structure of the network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity between layers, stemming both from standard similarity analyses as well as a core-periphery analyses of the different layers. We propose measures of systemic importance that fit the case in which banks are connected through an arbitrary number of layers (be it by instrument, maturity or a combination of both). Such measures allow for a decomposition of the global systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking regulators and supervisors in identifying tailored policy instruments. We use the dataset of exposures between large European banks to illustrate that both the methodology and the specific level of network aggregation matter in the determination of interconnectedness and thus in the policy making process.

Keywords: interbank networks; systemic importance; multiplex networks (search for similar items in EconPapers)
JEL-codes: G21 D85 C67 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-ict and nep-net
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

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Related works:
Journal Article: Multiplex interbank networks and systemic importance: An application to European data (2018) Downloads
Working Paper: Multiplex interbank networks and systemic importance - An application to European data (2017) Downloads
Working Paper: Multiplex interbank networks and systemic importance: an application to European data (2016) Downloads
Working Paper: Multiplex interbank networks and systemic importance – An application to European data (2016) Downloads
Working Paper: Multiplex interbank networks and systemic importance: An application to European data (2015)
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