• Corpus ID: 125214442

A latent variable model to measure exposure diversification in the Austrian interbank market

@article{Hledik2018ALV,
  title={A latent variable model to measure exposure diversification in the Austrian interbank market},
  author={Juraj Hledik and Riccardo Rastelli},
  journal={arXiv: Applications},
  year={2018}
}
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitment towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable… 

References

SHOWING 1-10 OF 25 REFERENCES

Correlation and Contagion as Sources of Systemic Risk

We study systemic risk in a network model of the interbank market where the asset returns of the banks in the network are correlated. In this way we can study the interaction of two important

Risk Assessment for Banking Systems

It is found that correlation in banks' asset portfolios dominates contagion as the main source of systemic risk and the “value at risk” for a lender of last resort is surprisingly small.

Systemic Risk and Stability in Financial Networks

This paper argues that the extent of financial contagion exhibits a form of phase transition: as long as the magnitude of negative shocks affecting financial institutions are sufficiently small, a

Financial Networks and Contagion

We study cascades of failures in a network of interdependent financial organizations: how discontinuous changes in asset values (e.g., defaults and shutdowns) trigger further failures, and how this

Interlocking directorates in Irish companies using a latent space model for bipartite networks

A statistical model for the evolution of the network of leading Irish company directorates over 11 years, encompassing the end of the Celtic Tiger boom and the ensuing financial crisis in 2008, reveals that the level of interlocking increased before and during the crisis, reaching a peak in 2009, and has generally stabilized since then.

Contagion in financial networks

  • Prasanna GaiS. Kapadia
  • Economics
    Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
  • 2010
This paper develops an analytical model of contagion in financial networks with arbitrary structure. We explore how the probability and potential impact of contagion is influenced by aggregate and

Contagion! Systemic Risk in Financial Networks

Attempts to define systemic risk are summarized and found to be deficient in various respects. In this introductory chapter, after considering some of the salient features of financial crises in the

Latent Space Approaches to Social Network Analysis

This work develops a class of models where the probability of a relation between actors depends on the positions of individuals in an unobserved “social space,” and proposes Markov chain Monte Carlo procedures for making inference on latent positions and the effects of observed covariates.