This is my first issue as Co-Editor-in-Chief of The Journal of Network Theory in Finance and I would like to start by thanking my fellow Co-Editor-in-Chief Kimmo Soramäki and the Risk Journals publishing team for welcoming me to the journal. Many thanks also to our editorial board for their greetings - all very encouraging and gladly received. I am delighted to work with you all!
This issue contains three papers. The first paper, "The econometrics of Bayesian graphical models: a review with financial application" by Daniel Felix Ahelegbey, provides a review of graphical modeling and describes potential applications in econometrics and finance. The paper focuses mainly on econometric aspects that are missing from most studies of financial networks. It inspires readers to use Bayesian network inference techniques as alternative techniques to Granger causality. In particular, it proposes an alternative approach for the evaluation of systemic risk: a hot and challenging topic in the financial industry.
Systemic risk is also tackled in the second contribution to this issue. In "Using Shapley's asymmetric power index to measure banks' contributions to systemic risk", Rodney J. Garratt, Lewis Webber and MatthewWillison address the problem of how to capture the contributions of bank failures to systemic risk. The paper proposes an asymmetric power index that is a generalization of the Shapley value. Results from this paper are mainly relevant for systemic risk and reverse stress-testing, and a tool that can be applied to real data is provided.
The issue's third paper, "Dynamic visualization of large financial networks" by Ronald Heijmans, Richard Heuver, Clement Levallois and Iman van Lelyveld, gives a dynamic visualization of the interbank payment system and the interbank money market. There is no doubt that visualization of large datasets is a key component in understanding and analyzing them. Animated visualizations are powerful and important tools that should be developed further to give practitioners and scientists insights that would not otherwise be seen.
I would like to invite all readers to the journal's third conference: "Financial Risk and Network Theory 2016", on September 13 and 14 at Cambridge University. All details are available on the conference website and a call for papers and presentations can be found on the site. We expect the conference to be successful again this year, with presentations from world leaders in the field and renowned exponents from industry. Selected papers accepted for the conference will be published in future issues of The Journal of Network Theory in Finance. Please join us!
Finally, we are now members of CrossRef and wewould therefore like to encourage authors to include DOIs in their reference lists. Many thanks.
Tiziana Di Matteo
King's College London
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
This paper provides a review of graphical modeling and describes potential applications in econometrics and finance.