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Community Structure and Systemic Risk of Bank Correlation Networks Based on the U.S. Financial Crisis in 2008

Yajing Huang, Feng Chen
2021 Algorithms  
This paper studies the community structure of the bank correlation network in the financial system and analyzes the systemic risk of the community sub-networks.  ...  Based on the balance sheet data of U.S. commercial banks from 2008, we establish a bank correlation network for each state according to the banks' investment portfolio ratio.  ...  Conflicts of Interest: The authors declare that they have no conflict of interest to report regarding the present study.  ... 
doi:10.3390/a14060162 fatcat:albup5qklbhzreggle437musv4

The Leaders, the Laggers, and the "Vulnerables"

Veni Arakelian, Shatha Qamhieh Hashem
2020 Risks  
captures the vulnerability of the risks generated by institutions' interrelations, and the Bayesian network based MES, which takes into account different network structures among institutions' interrelations  ...  Additionally, we find that all the systemic risk indicators increase their magnitude during the financial crisis.  ...  Systemic Risk and Network Measures The number of systemic risk definitions is vast, and the underlying idea is either based on the market's efficiency, and therefore the information dispersion, or on the  ... 
doi:10.3390/risks8010026 fatcat:f2ssx3xedrc6vgm2i5oqvgomae

Information Network Modeling for U.S. Banking Systemic Risk

Giancarlo Nicola, Paola Cerchiello, Tomaso Aste
2020 Entropy  
We therefore can generate daily time series of mutual information and transfer entropy for each bank of the network.  ...  In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London  ...  Acknowledgments: The authors thanks the EC for the project (H2020-ICT-2018-2 825215) that greatly helped with networking and ideas.  ... 
doi:10.3390/e22111331 pmid:33266514 fatcat:4wiiqgsftrfplkbngn5rsjavcq

Dynamic Structure of the Global Financial System of Systems

Khaldoun Khashanah, Yue Li
2016 Modern Economy  
Methodology/Approach: The graph-theoretic approach of minimum spanning trees (MST) is applied on two levels to construct the component level of a subsystem within each country and the systemic level of  ...  Purpose: This paper empirically investigates the structural evolution of global financial systems from the system of systems (SoS) view for eleven countries.  ...  Introduction The recent subprime mortgage crisis in 2008 exposed the weaknesses of the financial system both in the U.S. and globally.  ... 
doi:10.4236/me.2016.711124 fatcat:u5oj6mwqljfj3ny33tjjjt6lvy

Tracking Variation in Systemic Risk at Us Banks During 1974-2013

Armen Hovakimian, Edward J. Kane, Luc Laeven
2015 Social Science Research Network  
The model indicates that systemic risk reached unprecedented highs during the financial crisis years 2008-2009, and that bank size, leverage, and asset risk are key drivers of systemic risk.  ...  This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data.  ...  (2010) and extended by Brownlees and Engle (2015) , and network-based measures of systemic risk based on interbank contagion as, e.g., proposed by Cont (2010) .  ... 
doi:10.2139/ssrn.2642852 fatcat:wya2qpoxkzgwrbl55nluxvpfha

Variation in Systemic Risk at US Banks During 1974-2010

Armen Hovakimian, Edward J. Kane, Luc A. Laeven
2012 Social Science Research Network  
The model indicates that systemic risk reached unprecedented highs during the financial crisis years 2008-2009, and that bank size, leverage, and asset risk are key drivers of systemic risk. 2 Each new  ...  to the risk of a breakdown in the financial system as a whole.  ...  (2010) and extended by Brownlees and Engle (2015) , and network-based measures of systemic risk based on interbank contagion as, e.g., proposed by Cont (2010) .  ... 
doi:10.2139/ssrn.2031798 fatcat:pixedfvdp5d6vgzxdgcsxjeih4

Variation in Systemic Risk at US Banks During 1974-2010

Edward J. Kane, Armen Hovakimian, Luc A. Laeven
2012 Social Science Research Network  
The model indicates that systemic risk reached unprecedented highs during the financial crisis years 2008-2009, and that bank size, leverage, and asset risk are key drivers of systemic risk.  ...  This paper proposes a theoretically based and easy-to-implement way to measure the systemic risk of financial institutions using publicly available accounting and stock market data.  ...  (2010) and extended by Brownlees and Engle (2015) , and network-based measures of systemic risk based on interbank contagion as, e.g., proposed by Cont (2010) .  ... 
doi:10.2139/ssrn.2115407 fatcat:ox2i5v5p5zdy3has3qdekwmcui

Integrating Micro and Macro Policy Levers in Response to Financial Crises

Daniel Crane, Markus Kitzmuller, Graciela Miralles
2018 Michigan Business & Entrepreneurial Law Review  
The 2008–09 Global Financial Crisis originated from a poor incentive structure in the asset market derived from subprime mortgages.  ...  CDOs) put enormous stress on the financial system, spreading through the global network economy and ultimately resulting in the worst economic crisis since the Great Depression.  ...  The 2008-09 Global Financial Crisis originated from a poor incentive structure in the asset market derived from subprime mortgages.  ... 
doi:10.36639/mbelr.7.2.integrating fatcat:cjspvufw25fijjcikeszi4lnum

Retrospective on Twenty Years of the FDIC-JFSR Bank Research Conference

Haelim Anderson, Michael Carabello, Troy Kravitz
2022 Journal of financial services research  
We evaluate the impact of the conference on policy and research communities, financial regulation, and the banking and finance literature.  ...  The conference has served to disseminate policy-relevant research on issues affecting the banking sector and the stability of the financial system.  ...  and the Effects of the Crisis on the Financial System Liabilities: Aspects of Various Types of Bank Liabilities Fig. 1 1 Fig. 1 Conference Submissions Surrounding the Financial Crisis, 2005-2013 (Data  ... 
doi:10.1007/s10693-021-00374-9 fatcat:fcbreq5vmfckbj4ek4tbwnzdva

Keynesian and Austrian Perspectives on Crisis, Shock Adjustment, Exchange Rate Regime and (Long-Term) Growth

Gunther Schnabl, Mathilde Maurel
2011 Social Science Research Network  
One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs).  ...  The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework with respect to this literature.  ...  I Introduction The financial crisis of 2007/2008 unveiled the shortcomings in the regulation of systemic risk and exposed the moral hazard that is associated with systemically important financial institutions  ... 
doi:10.2139/ssrn.1758653 fatcat:7ayt6pr5xva3fdpgcghtcrgwdq

Keynesian and Austrian Perspectives on Crisis, Shock Adjustment, Exchange Rate Regime and (Long-Term) Growth

Mathilde Maurel, Gunther Schnabl
2011 Open Economies Review  
One of the most pressing questions in the aftermath of the financial crisis is how to deal with systemically important financial institutions (SIFIs).  ...  The purpose of this paper is to review the recent literature on systemic risk and evaluate the regulation proposals in the Basel III framework with respect to this literature.  ...  I Introduction The financial crisis of 2007/2008 unveiled the shortcomings in the regulation of systemic risk and exposed the moral hazard that is associated with systemically important financial institutions  ... 
doi:10.1007/s11079-011-9227-z fatcat:n4fkfiluh5bxzao7vwjnyexcby

To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks [article]

Dimitri O. Ledenyov, Viktor O. Ledenyov
2013 arXiv   pre-print
transmission channels and the transaction networks channels in the financial system.  ...  We found that the ability of the US financial system to adjust to the different levels of liquidity depends on the nonlinearities appearance in the QE transmission channels, and is limited by the laminar  ...  The endeavors encompass development of statistical mechanics methods for quantifying network structure, construction of theoretical models for network formation and visualization of networks based on a  ... 
arXiv:1305.5656v2 fatcat:3inidivpgnbsjjjjlvmdrsfxky

MACHINE LEARNING METHODS FOR SYSTEMIC RISK ANALYSIS IN FINANCIAL SECTORS

Gang Kou, Xiangrui Chao, Yi Peng, Fawaz E. Alsaadi, Enrique Herrera-Viedma
2019 Technological and Economic Development of Economy  
Machine learning methods study the mechanisms of outbreak and contagion of systemic risk in the financial network and improve the current regulation of the financial market and industry.  ...  In this paper, we survey existing researches and methodologies on assessment and measurement of financial systemic risk combined with machine learning technologies, including big data analysis, network  ...  Acknowledgements This research has been partially supported by grants from the National Natural Science Foundation of China (#U1811462, #71874023, #71771037, #71725001, and #71433001).  ... 
doi:10.3846/tede.2019.8740 fatcat:jm63z7ut5rhkzi2ezh62j3vcj4

REAL ESTATE AND THE GREAT CRISIS: LESSONS FOR MACROPRUDENTIAL POLICY

John V. Duca, Lilit Popoyan, Susan M. Wachter
2017 Contemporary economic policy  
From a broad macro-financial structure perspective, overly easy credit conditions gave rise to house price booms and busts in several advanced economies (e.g., Ireland, Spain, and the U.S.), and, more  ...  The macro-prudential lessons from the Great Crisis highlight the need to prevent the build-up of excess real estate financing and limit the amplification and correlation of real estate risks.  ...  In the 2000s large U.S. banks did not build up capital ratios as risks in the financial system rose.  ... 
doi:10.1111/coep.12260 fatcat:x47phyvkrzdmfluu34bjoyitqu

Financial Crises: Theory and Evidence

Ana Babus, Elena Carletti, Franklin Allen
2009 Social Science Research Network  
This algorithm produces a natural measure of systemic risk based on how many waves of defaults are required to induce a given firm in the system to fail.  ...  Gai and Kapadia (2007) develop a model of contagion in financial networks and use similar techniques as the epidemiological literature on spread of disease in networks to assess the fragility of the financial  ... 
doi:10.2139/ssrn.1422715 fatcat:dqm3z3jfs5a6pbq6k3gbxjl53u
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