Network theory
CDS surcharge touted to aid systemic stability
Charges would encourage systemic banks to buy protection from less significant players
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Insurers blind to new threats, network analysis suggests
Risk taxonomies driven by top-down approach or externally imposed labels expose firms to blind spots
US Treasury using network theory to combat cyber threats
Targeted attacks and random threats call for different defences, financial research unit finds
Model risk managers grapple with interconnectedness
US regulators ask banks to assess cross-dependencies of models – prompting some to employ network theory
Trust key to interbank lending, study finds
'Social collateral' collapsed during 2008 crisis, finds Swiss National Bank paper
Twin member default would hit up to 23 CCPs
New FSB analysis reveals interdependencies of clearing system
Causality networks of financial assets
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
New light cast on shadow bank risk
PLS-SEM model could test assumptions on shadow banks’ risk role
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks
Quantifying the diversity of news around stock market moves
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.
Basel III has aided system stability, interbank models suggest
Model predicts future crashes will not be total wipeout
Op risk survey shows the insidious effects of political risk
Rise in geopolitical turmoil drives other risk factors, suggests a network analysis of 2017's survey
Closer ties between banks could mean more risk-taking
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.
Topology matters: why regulators may be missing a trick
Bank networks evolve to be liquid but unstable, new research shows
Simulated banking system shows pros and cons of Basel III
Stability improves, but higher capital requirements also cut lending in new research
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
NetMES: a network based marginal expected shortfall measure
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.
Directors’ networks and firm valuation in a concentrated ownership structure economy
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
Dynamic visualization of large financial networks
This paper presents animated visualizations of transaction flows in the Dutch TARGET2 payment system.
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Close communications: hedge funds, brokers and the emergence of a consensus trade
This paper examines the network of communication practices among hedge fund managers.