Munich Personal RePEc Archive

Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash

Saltoglu, Burak and Yenilmez, Taylan (2010): Analyzing Systemic Risk with Financial Networks An Application During a Financial Crash.

[img]
Preview
PDF
MPRA_paper_26684.pdf

Download (500Kb) | Preview

Abstract

A financial network model, where the coded identity of the counterparties of every trade is known, is applied to both stable and crisis periods in a large and liquid overnight repo market in an emerging market economy. We have analyzed the financial crisis by using various network investigation tools such as links, interconnectivity, and reciprocity. In addition, we proposed a centrality measure to monitor and detect the ‘systemically important financial institution’ in the financial system. We have shown that our measure gives strong signals much before the crisis.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.