This study provides a new perspective to analyze systemic risk and contagion channels of financial markets by proposing Weighted Stochastic Block Model (WSBM) as a generative model for the financial networks. WSBM allows regulators to analyze systemic risk and contagion channels of financial markets by the topological features of WSBM communities. In the empirical application of the WSBM, it is found that the number of communities tends to increase during the financial crisis which can be analyzed as a new early warning indicator of systemic risk. In addition, a new ranking method, based on the new notion of systematically important communities of financial institutions, is provided to assess the systemically important financial institutions.
Contagion Analysis in European Financial Markets Through the Lens of Weighted Stochastic Block Model: Systematically Important Communities of Financial Institutions
Yenerdag, Erdem
2016/2017
Abstract
This study provides a new perspective to analyze systemic risk and contagion channels of financial markets by proposing Weighted Stochastic Block Model (WSBM) as a generative model for the financial networks. WSBM allows regulators to analyze systemic risk and contagion channels of financial markets by the topological features of WSBM communities. In the empirical application of the WSBM, it is found that the number of communities tends to increase during the financial crisis which can be analyzed as a new early warning indicator of systemic risk. In addition, a new ranking method, based on the new notion of systematically important communities of financial institutions, is provided to assess the systemically important financial institutions.File | Dimensione | Formato | |
---|---|---|---|
855742-1205810.pdf
accesso aperto
Tipologia:
Altro materiale allegato
Dimensione
9.4 MB
Formato
Adobe PDF
|
9.4 MB | Adobe PDF | Visualizza/Apri |
I documenti in UNITESI sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/20.500.14247/8392