In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
This paper investigates the effects of contagion in interbank-lending networks, with a special focus on the theoretical grounding of centrality measures.
Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
This paper surveys the use of networks and network-based methods to study economy- related questions.
This paper contributes to the financial networks literature by providing evidence that well-connected bankers on the boards of directors of nonfinancial firms reduce information asymmetry between credit markets and firms.
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
In this paper, the authors study the topological and structural properties of the bank–sector credit network of Spain over the period 1997–2007.
This paper presents an evaluation of how risk interdependence affects the risk management process.
This paper extensively compares mutual-information-based networks with correlation-based networks on a stand-alone basis and in the framework of active investment strategies.
This paper proposes a framework to identify the structure of a financial network and its evolution over time, and presents an application to an interbank market with complete actual data.
In this paper, the author builds dynamic networks based on correlation and transfer entropy, using both the log returns and the volatilities of 97 stock market indexes from various parts of the world between 2000 and 2016
In this paper the authors study insolvency cascades in an interbank system, in which banks are permitted to insure their loans with credit default swaps sold by other banks.
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
In this paper, the author provides an empirical analysis of the network characteristics of two interrelated interbank money markets and their effect on overall market conditions.
Through financial network analysis, this paper ascertains the existence of important causal behavior between certain financial assets, as inferred from eight different causality methods.
In this paper, the authors use information theory quantifiers to analyze the graphs generated by the VG method as applied to the return rate time series of stock markets from different countries.