Isda AGM: New analysis – due next month – looks at clearing network risks
In this paper, the authors use a topic-modeling approach to quantify the changing attentions of a major news outlet, the Financial Times, to issues of interest.
How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation
In this paper, the authors study the stability of the interbank market to exogenous shocks using an agent-based network framework.
Model predicts future crashes will not be total wipeout
Rise in geopolitical turmoil drives other risk factors, suggests a network analysis of 2017's survey
Model points to risks of core-periphery structure
Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
The authors develop an agent-based model to study the impact of a broad range of regulation policies on the banking system.
Bank networks evolve to be liquid but unstable, new research shows
Stability improves, but higher capital requirements also cut lending in new research
This papers is the first to link bank liquidity performance and core–periphery network structures.
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
This paper examines the network of communication practices among hedge fund managers.
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
This paper uses network theory to develop models for credit decisions in group lending schemes.
This paper systematically reviews the theoretical literature on interbank networks.
This paper develops a framework based on integrated national accounting data that aims to capture linkages between different sectors of the economy. The resulting framework provides a useful platform for static policy simulations and shock transmission…
This paper considers a network of cross-border SWIFT message flows where nodes are the countries in which the sending and receiving banks are domiciled. The authors analyze how the payment flows reflect or predict various aspects of the real economies.
This paper aims to quantify cascades of price movements in financial markets. It considers nonlinear lead-lag effects with stocks in the S&P 100 as nodes, and it also looks at directed links between the stocks identified through Granger causality. The…