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- handle: 10670/1.4ok5pw
- hal: hal-03740283
- doi: 10.1007/s00181-021-02131-2
- WOS: 000696479600003
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s00181-021-02131-2
Mots-clés
Financial networks Interconnectedness Systemic risk Spillover ACL-4 G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • MortgagesSujets proches
Financial intermediaries Lending institutions Funds Funding Finance, commerce, confiscations, etcCiter ce document
Jean-Baptiste Hasse, « Systemic risk: a network approach », HAL-SHS : économie et finance, ID : 10.1007/s00181-021-02131-2
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Résumé
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.