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Pré-publication, Document de travail Année : 2020

Systemic Risk: a Network Approach

Résumé

We propose a new measure of systemic risk based on interconnectedness, defined as the level of direct and indirect links between financial institutions in a correlation-based network. Deriving interconnectedness in terms of risk, we empirically show that within a financial network, indirect links are strengthened during systemic events. The relevance of our measure is illustrated at both local and global levels. Our framework offers policymakers a useful toolbox for exploring the real-time topology of the complex structure of dependencies in financial systems and for measuring the consequences of regulatory decisions.
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Dates et versions

halshs-02893780, version 1 (08-07-2020)

Identifiants

  • HAL Id : halshs-02893780 , version 1

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Jean-Baptiste Hasse. Systemic Risk: a Network Approach. 2020. ⟨halshs-02893780⟩
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Dernière date de mise à jour le 20/04/2024
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