Advertisement

A survey of network-based analysis and systemic risk measurement

Regular Article

Abstract

The financial crisis led to a number of new systemic risk measures and a renewed concern over the risk of contagion. This paper surveys the systemic risk literature with a focus on the importance of contributions made by those emphasizing a network-based approach, and how that compares with more commonly used approaches. Research on systemic risk has generally found that the risk of contagion through domino effects is minimal, and thus emphasized focusing on the resiliency of the financial system to broad macroeconomic shocks. Theoretical, methodological, and empirical work is critically examined to provide insight on how and why regulators have emphasized deregulation, diversification, size-based regulations, and portfolio-based coherent systemic risk measures. Furthermore, in the context of network analysis, this paper reviews and critically assesses newly created systemic risk measures. Network analysis and agent-based modeling approaches to understanding network formation offer promise in helping understand contagion, and also detecting fragile systems before they collapse. Theory and evidence discussed here implies that regulators and researchers need to gain an improved understanding of how topology, capital requirements, and liquidity interact.

Keywords

Network analysis Systemic risk Financial market regulation Complexity 

JEL Classification

G20 E44 E47 E58 

Notes

Acknowledgments

The author would like to thank Ehsan Ahmed and German Creamer for helpful comments on previous drafts. Several comments by anonymous reviewers have also helped to improve the paper in many ways. The author would also like to thank Adam Diehl for his helpful research assistance. Finally, the author would also like to acknowledge comments from participants at the Agent-based Computational Economics sessions sponsored by the NYC Computational Economics & Complexity Workshop and participants in the Southern Economic Association session on Complexity in Economics and the Social Sciences.

References

  1. Acemoglu D (2012) Systemic risk: insights from networks. AFA presentation, 6 Jan 2012Google Scholar
  2. Acharya VV, Pedersen LH, Philippon T, Richardson MP (2010) Measuring systemic risk. Working paper 1002 Federal Reserve Bank of ClevelandGoogle Scholar
  3. Adrian T, Brunnermeier MK (2009) CoVaR. Federal Reserve Bank of New York Staff Report 348. New York Federal Reserve, New YorkGoogle Scholar
  4. Aikman D, Alessandri P, Eklund B, Gai P, Kapadia S, Martin E, Mora N, Sterne G, Willison M (2009) Funding liquidity risk in a quantitative model of systemic stability. Bank of England working paper 372, Bank of EnglandGoogle Scholar
  5. Allen F, Babus A (2009) Networks in finance. In: Kleindorfer PR, Wind Y, Gunther RE (eds) The network challenge: strategy, profit, and risk in an interlinked world. Wharton School Publishing, Upper Saddle River, pp 367–382Google Scholar
  6. Allen F, Carletti E (2013) New theories to underpin financial reform. J Financ Stab 9:242–249Google Scholar
  7. Allen F, Gale D (2000) Financial contagion. J Polit Econ 108(1):1–33Google Scholar
  8. Allen F, Gale D (2003) Capital adequacy regulation: in search of a rationale. In: Arnott R, Greenwald B, Kanbur R, Nalebuff B (eds) Economics for an imperfect world: essays in honor of Joseph Stiglitz. MIT Press, Cambridge, pp 83–109Google Scholar
  9. Allen F, Gale D (2004) Financial fragility, liquidity, and asset prices. J Eur Econ Assoc 2(December):1015–1048Google Scholar
  10. Allen F, Gale D (2006) The risks of financial institutions. In: Carey M, Stulz RM (eds) Systemic risk and regulation. The University of Chicago Press, Chicago, pp 341–375 IL, Ch. 7Google Scholar
  11. Amini H, Cont R, Minca A (2010) Resilience to contagion in financial networks. SSRN working paper 1865997Google Scholar
  12. Amini H, Cont R, Minca A (2011) Stress testing the resilience of financial networks. Int J Theor Appl Finance 15(1):1–20Google Scholar
  13. Anand K, Craig B, von Peter G (2015) Filling in the blanks: network structure and interbank contagion. Quant Finance 15(4):673–691Google Scholar
  14. Aragonés J R, Blanco C, Dowd K (2008) Stress testing for financial institutions. In: Rösch D, Scheule H (eds) Stress tests, market risk measures and extremes: bringing stress tests to the forefront of market risk management. Risk Books, London, pp 17–34 Ch. 2Google Scholar
  15. Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Finance 9(3):203–208Google Scholar
  16. Babus A (2005) Financial development, integration and stability. In: Liebscher K (ed) Contagion risk in financial networks. Edward Elgar, Cheltenham, pp 423–440Google Scholar
  17. Babus A (2007) The formation of financial networks Tinbergen Institute discussion paper No. 2006-093/2, FEEM working paper No. 69.2007. http://ssrn.com/abstract=939754, pp 1–32
  18. Bardoscia M, Battiston S, Caccioli F, Caldarelli G (2015) DebtRank: a microscopic foundation for shock propagation. http://arxiv.org/abs/1504.01857
  19. Bargigli L, di Iasio G, Infante L, Lillo F, Pierobon F (2015) The multiplex structure of interbank networks. Quant Finance 15(4):673–691Google Scholar
  20. Bargigli L, Gallegati M, Riccetti L, Russo A (2014) Network analysis and calibration of the “leveraged network-based financial accelerator”. J Econ Behav Org 99:109–125Google Scholar
  21. Bargigli L, Tedeschi G (2014) Interaction in agent-based economics: a survey on the network approach. Phys A 399:1–15Google Scholar
  22. Battiston S, Caldarelli G (2013) Systemic risk in financial networks. J Financ Manag Mark Inst 1(2):129–154Google Scholar
  23. Battiston S, Delli Gatti D, Gallegati M, Greenwald B, Stiglitz JE (2012a) Default cascades: when does risk diversification increase stability? J Financ Stab 8(3):138–149Google Scholar
  24. Battiston S, Delli Gatti D, Gallegati M, Greenwald BC, Stiglitz JE (2012b) Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk. J Econ Dyn Control 36(8):1121–1141Google Scholar
  25. Battiston S, Puliga M, Kaushik R, Tasca P, Caldarelli G (2012c) DebtRank: too central to fail? Financial networks, the fed and systemic risk. Sci Rep 2(541):1–6Google Scholar
  26. Battiston S, Caldarelli G, D’Errico M, Gurciullo S (2015) Leveraging the network: a stress-test framework based on DebtRank. SSRN working paper 2571218Google Scholar
  27. Battiston S, Farmer JD, Flache A, Garlaschelli D, Haldane AG, Heesterbeek H, Hommes C, Jaeger C, May R, Scheffer M (2016) Complexity theory and financial regulation. Science 351(6275):818–819Google Scholar
  28. Bech ML, Atalay E (2010) The topology of the federal funds market. Phys A 389(22):5223–5246Google Scholar
  29. Bernanke BS, Gertler M (2010) Inside the black box: the credit channel of monetary policy transmission. J Econ Perspect 9(4):27–48Google Scholar
  30. Bernanke BS, Gertler M, Gilchrist S (1999) The financial accelerator in a quantitative business cycle framework. In: Taylor JB, Woodford M (eds) Handbook of macroeconomics. North-Holland, Amsterdam, pp 1341–1393Google Scholar
  31. Billio M, Getmansky M, Lo AW, Pelizzon L (2010) Econometric measures of systemic risk in the finance and insurance sectors. MIT Sloan School working paper 4774-10, MIT Sloan School of Management, Cambridge, MAGoogle Scholar
  32. Bisias D, Flood M, Lo A, Valavanis S (2012) A survey of systemic risk analytics. Office of Financial Research working paper 0001, US Department of the Treasury, Washington, DCGoogle Scholar
  33. Blåvarg M, Nimander P (2002) Interbank Exposures and Systemic Risk, In: Bank of International Settlements (ed) Risk measurement and systemic risk, proceedings of the third joint central bank research conference, October 2002. Bank for International Settlements, pp 287–305Google Scholar
  34. Bluhm M, Faia E, Krahnen JP (2013) Endogenous banks networks, cascades and systemic risk. SAFE working paper Series Number 12, Center of Excellence SAFE Sustainable Architecture for Finance in EuropeGoogle Scholar
  35. Blume L, Easley D, Kleinberg J, Kleinberg R, Tardos E (2011) Network formation in the presence of contagious risk. In: Proceedings of the 12th ACM conference on electronic commerce, pp. 1–23Google Scholar
  36. Borio C, Drehmann M (2009) Towards an operational framework for financial stability: “fuzzy” measurement and its consequences. BIS working papers: monetary and economic development Number 284, Bank for International SettlementsGoogle Scholar
  37. Boss M, Elsinger H, Summer M, Thurner S (2004) Network topology of the interbank market. Quant Finance 4(6):677–684Google Scholar
  38. Boss M, Krenn G, Puhr C, Summer M (2006) Systemic risk monitor: a model for systemic risk analysis and stress testing of banking systems. OeNB Financ Stab Rep 11:83–95Google Scholar
  39. Bouchaud J-P (2009) The (unfortunate) complexity of the economy. Phys World 22(4):28–32Google Scholar
  40. Brock WA, Hommes CH, Wagener FO (2009) More hedging instruments may destabilize markets. J Econ Dyn Control 33(11):1912–1928Google Scholar
  41. Brownlees CT, Engle R (2011) Volatility, correlation and tails for systemic risk measurement. SSRN working paper 1611229Google Scholar
  42. Brusco S, Castiglionesi F (2007) Liquidity coinsurance, moral hazard, and financial contagion. J Finance 62(5):2275–2302Google Scholar
  43. Caballero RJ, Simsek A (2013) Fire sales in a model of complexity. J Finance 68(6):2549–2587Google Scholar
  44. Caccioli F, Catanach TA, Farmer JD (2012) Heterogeneity, correlations and financial contagion. Adv Complex Syst 15(s2):1–15Google Scholar
  45. Cappiello L, Kadareja A, Sørensen CK, Protopapa M (2010) Do bank loans and credit standards have an effect on output? A panel approach for the Euro Area. ECB working paper Series No. 1150, European Central Bank, Frankfurt, GermanyGoogle Scholar
  46. Castiglionesi F, Navarro N (2008) Optimal fragile financial networks second Singapore international conference on finance 2008, EFA 2008 Athens meetings paper. Available at SSRN: http://ssrn.com/abstract=1089357, pp 1–36
  47. Chan-Lau J, Espinosa-Vega MA, Giesecke K, Solé J (2009) Assessing the systemic implications of financial linkages. In: International Monetary Fund (ed) Global financial stability report. chap 2. International Monetary Fund, Washington DC, pp 73–110Google Scholar
  48. Chen H, Cummins JD, Viswanathan KS, Weiss MA (2013) Systemic risk and the interconnectedness between banks and insurers: an econometric analysis. J Risk Insur 81(3):623–652Google Scholar
  49. Cifuentes R, Ferrucci G, Shin H (2005) Liquidity risk and contagion. J Eur Econ Assoc 3(2/3):556–566Google Scholar
  50. Chinazzi M, Fagiolo G (2013) Systemic risk, contagion, and financial networks: a survey. Available at SSRN: http://ssrn.com/abstract=2243504
  51. Cocco JaF, Gomes FJ, Martins NC (2009) Lending relationships in the interbank market. J Financ Intermed 18(1):24–48Google Scholar
  52. Cont R, Deguest R, Scandolo G (2010) Robustness and sensitivity analysis of risk measurement procedures. Quant Finance 10(6):593–606Google Scholar
  53. Cont R, Kan YH (2011) Statistical modeling of credit default swap portfolios. http://ssrn.com/abstract=1771862, pp 1–43
  54. Cont R, Moussa A, Bastos e Santos E (2013) Handbook of systemic risk. In: Fouque JP, Langsam J (eds) Network structure and systemic risk in banking systems. Cambridge University Press, Cambridge, pp 327–368Google Scholar
  55. Craig BR, von Peter G (2014) Interbank tiering and money center banks. J Financ Intermed 23(3):322–347Google Scholar
  56. Daníelsson J, Jorgensen BrN, Sarma M, de Vries CG (2006) Comparing downside risk measures for heavy tailed distributions. Econ Lett 92:202–208Google Scholar
  57. Daníelsson J, Shin HS (2003) Endogenous risk. In: Field P (ed) Modern risk management–a history. Risk Books, LondonGoogle Scholar
  58. Daníelsson J, Shin HS, Zigrand JP (2013) Quantifying systemic risk. In: Haubrich JG, Lo AW (eds) Endogenous and systemic risk. university of chicago press, Chicago, pp 73–94Google Scholar
  59. Daníelsson J, Zigrand JP (2012) Endogenous extreme events and the dual role of prices. Annu Rev Econ 4:111–129Google Scholar
  60. Dasgupta A (2004) Financial contagion through capital connections: a model of the origin and spread of financial panics. J Eur Econ Assoc 2(6):1049–1084Google Scholar
  61. De Bandt O, Hartmann P, Peydró JL (2010) Systemic risk in banking: an update. In: Berger AN, Molyneux P, Wilson J (eds) The Oxford handbook of banking. Oxford University Press, Oxford, pp 633–672 Ch. 25,Google Scholar
  62. Delli Gatti D, Gallegati M, Greenwald B, Russo A, Stiglitz JE (2010) The financial accelerator in an evolving credit network. J Econ Dyn Control 34(9):1627–1650Google Scholar
  63. Delpini D, Battiston S, Riccaboni M, Giampaolo G, Pammolli F, Caldarelli G (2013) Evolution of controllability in interbank networks. Sci Rep 3(1626):1–5Google Scholar
  64. Degryse H, Nguyen G (2007) Interbank exposures: an empirical examination of contagion risk in the belgian banking system. Int J Central Bank 3:123–171Google Scholar
  65. di Iasio G, Battiston S, Infante L, Pierobon F (2013) Capital and contagion in financial networks. MPRA working paper No. 52141Google Scholar
  66. de Vries CG (2005) The simple economics of bank fragility. J Bank Finance 29(4):803–825Google Scholar
  67. Drehmann M (2009) Stress-testing the banking system: methodologies and applications. In: Quagliariello M (ed) Macroeconomic stress-testing banks: a survey of methodologies. Cambridge University Press, Cambridge, pp 37–62 (Ch 3)Google Scholar
  68. Drehmann M, Tarashev N (2011) Systemic importance: some simple indicators. BIS Quart Rev :25–37Google Scholar
  69. Dudley WC (2011) US experience with bank stress tests. Remarks to the group of 30 plenary meeting 5/28/2011, Federal Reserve Bank of New York, Bern, SwitzerlandGoogle Scholar
  70. Eisenberg L, Noe TH (2001) Systemic risk in financial systems. Manag Sci 47(603):236–249Google Scholar
  71. Elliott M, Golub B, Jackson MO (2014) Financial networks and contagion. Am Econ Rev 104(10):3115–3153Google Scholar
  72. Elsinger H, Lehar A, Summer M (2006a) Risk assessment for banking systems. Manag Sci 52(9):1301–1314Google Scholar
  73. Elsinger H, Lehar A, Summer M (2006b) Using market information for banking system risk assessment. Int J Central Bank 2(1):137–165Google Scholar
  74. Elsinger H, Lehar A, Summer M (2013b) Handbook of systemic risk. In: Fouque JP, Langsam JA (eds) Network models and systemic risk assessment. Cambridge University Press, Cambridge, pp 287–305 (Ch 11)Google Scholar
  75. European Central Bank (2009) Credit default swaps and counterparty risk. ECB, FrankfurtGoogle Scholar
  76. European Central Bank (2010a) Financial networks and financial stability. Financial stability review, June edn. European Central Bank, Frankfurt, Germany, pp 155–160Google Scholar
  77. European Central Bank (2010b) New quantitative measures of systemic risk. Financial stability review, December edn. European Central Bank, Frankfurt, Germany, pp 147–153Google Scholar
  78. Financial Stability Oversight Council (2011) Authority to require supervision and regulation of certain nonbank financial companies, proposed rule. Federal Register October 11 (RIN 4030-AA00)Google Scholar
  79. Freixas X, Parigi BM, Rochet J-C (2000) Systemic risk, interbank relations and liquidity provision by the central bank. J Money Credit Bank 32(3):611–638Google Scholar
  80. Furfine CH (2003) Interbank exposures: quantifying the risk of contagion. J Money Credit Bank 35(1):111–128Google Scholar
  81. Gaffeo E, Molinari M (2015) Interbank contagion and resolution procedures: inspecting the mechanism. Quant Finance 15(4):637–652Google Scholar
  82. Gai P, Haldane A, Kapadia S (2011) Complexity, concentration and contagion. J Monet Econ 58(5):453–470Google Scholar
  83. Gai P, Kapadia S (2010) Contagion in financial networks. Proc R Soc A: Math, Phys Eng Sci 466(2120):2401–2423Google Scholar
  84. Galbiati M, Soramäki K (2012) Clearing networks. J Econ Behav Org 83(3):609–626Google Scholar
  85. Georg C (2013) The effect of the interbank network structure on contagion and common shocks. J Bank Finance 37(7):2216–2228Google Scholar
  86. Giansante S, Chiarella C, Sordi S, Vercelli A (2012) Structural contagion and vulnerability to unexpected liquidity shortfalls. J Econ Behav Org 83(3):558–569Google Scholar
  87. Giesecke K, Weber S (2004) Cyclical correlations, credit contagion, and portfolio losses. J Bank Finance 28(12):3009–3036Google Scholar
  88. Gray DF, Jobst AA (2010) Lessons from the financial crisis on modelling systemic and sovereign risk. In: Berd AM (ed) Lessons from the financial crisis. Risk Books, chap 8. London, pp 187–230Google Scholar
  89. Gray DF, Merton RC, Bodie Z (2007) New framework for measuring and managing macrofinancial risk and financial stability. NBER working paper 13607, National Bureau of Economic Research, Cambridge, MAGoogle Scholar
  90. Grilli R, Tedeschi G, Gallegati M (2015) Markets connectivity and financial contagion. J Econ Interact Coord 10(2):287–304Google Scholar
  91. Hałaj G, Kok C (2013) Assessing interbank contagion using simulated networks. CMS 10(2):157–186Google Scholar
  92. Hałaj G, Kok C (2015) Modelling the emergence of the interbank networks. Quant Finance 15(4):653–671Google Scholar
  93. Haldane AG (2009a) Rethinking the financial network. Speech to the financial student association. Financial Student Association, AmsterdamGoogle Scholar
  94. Haldane AG (2009b) Why banks failed the stress test, speech. February, Marcus-Evans Conference on Stress Testing, LondonGoogle Scholar
  95. Haldane AG, May RM (2011) Systemic risk in banking ecosystems. Nature 469(7330):351–355Google Scholar
  96. Hale G (2011) Bank relationships, business cycles, and financial crises. J Int Econ 88(2):312–325Google Scholar
  97. Hanson SG, Kashyap AK, Stein JC (2011) A macroprudential approach to financial regulation. J Econ Perspect 25(1):3–28Google Scholar
  98. Hasman A (2013) A critical review of contagion risk in banking. J Econ Surv 27(5):978–995Google Scholar
  99. Heise S, Kuhn R (2012) Derivatives and credit contagion in interconnected networks. Eur Phys J B 85(4):1–19Google Scholar
  100. Hernández MA, Ho H, Koutrika G, Krishnamurthy R, Popa L, Stanoi IR, Vaithyanathan S, Das S (2010) Unleashing the power of public data for financial risk measurement, regulation, and governance. IBM technical paper RJ10475Google Scholar
  101. Huang X, Zhou H, Zhu H (2009) A framework for assessing the systemic risk of major financial institutions. J Bank Finance 33(11):2036–2049Google Scholar
  102. Huang X, Vodenska I, Havlin S, Stanley HE (2013) Cascading failures in bi-partite graphs: model for systemic risk propagation. Sci Rep 3(1219):1–8Google Scholar
  103. Hughes T (2012) Would the CCAR catch WaMu? Economic & Consumer Credit Analytics, Moody’s Analytics, West Chester, pp 1–7Google Scholar
  104. Hüser A (2015) Too interconnected to fail: a survey of the interbank networks literature. SAFE | sustainable architecture for finance in Europe (working paper) No. 91Google Scholar
  105. Iazzetta C, Manna M (2009) The topology of the interbank market: developments in Italy since 1990. Bank of Italy Temi di Discussione (working paper) No. 711Google Scholar
  106. Ibragimov R, Walden J (2007) The limits of diversification when losses may be large. J Bank Finance 31(8):2551–2569Google Scholar
  107. Inaoka H, Ninomiya T, Taniguchi K, Shimizu T, Takayasu H (2004) Fractal network derived from banking transaction: an analysis of network structures formed by financial institutions. Bank of Japan working paper 04-E-04, Bank of JapanGoogle Scholar
  108. Iori G, De Masi G, Precup OV, Gabbi G, Caldarelli G (2008) A network analysis of the italian overnight money market. J Econ Dyn Control 32(1):259–278Google Scholar
  109. Iori G, Jafarey S, Padilla FG (2006) Systemic risk on the interbank market. J Econ Behav Org 61(4):525–542Google Scholar
  110. Johnson N (2011) Financial systems: ecology and economics: proposing policy by analogy is risky. Nature 469(7330):302–303Google Scholar
  111. Jorion P, Zhang G (2009) Credit contagion from counterparty risk. J Finance 64(5):2053–2087Google Scholar
  112. Kambhu J, Weidman S, Krishnan N (2007) Part 1: introduction. Econ Policy Rev 13(November):3–14Google Scholar
  113. Kashyap AN, Stein J (2000) What do a million observations say about the transmission of monetary policy? Am Econ Rev 90(3):407–428Google Scholar
  114. Kaushik R, Battiston S (2013) Credit default swaps drawup networks: too interconnected to be stable? PloS ONE 8(7):e61815Google Scholar
  115. King A, Liechty JC, Rossi C, Taylor C (2010) Frameworks for systemic risk monitoring: conference report. Conference report June 2010, The pew financial reform projectGoogle Scholar
  116. Klimek P, Poledna S, Farmer JD, Thurner S (2015) To bail-out or to bail-in? Answers from an agent-based model. J Econ Dyn Control 50:144–154Google Scholar
  117. Labonte M (2010) The Dodd-Frank Wall street reform and consumer protection act: systemic risk and the federal reserve. Report R41384, congressional research serviceGoogle Scholar
  118. Leitner Y (2005) Financial networks: contagion, commitment, and private sector bailouts. J Finance 60(6):2925–2953Google Scholar
  119. Lenzu S, Tedeschi G (2012) Systemic risk on different interbank network topologies. Phys A 391(18):4331–4341Google Scholar
  120. Levy-Carciente S, Kenett DY, Avakian A, Stanley HE, Havlin S (2015) Dynamic macroprudential stress testing using network theory. J Bank Finance 59:164–181Google Scholar
  121. Liebowitz SJ, Margolis SE (1994) Network externality: an uncommon tragedy. J Econ Perspect 8(2):133–150Google Scholar
  122. Lo AW (2009) Regulatory reform in the wake of the financial crisis of 2007–2008. J Financ Econ Policy 1(1):4–43Google Scholar
  123. Madhavan A (2012) Exchange-traded funds, market structure, and the “flash crash”. Financ Anal J 68(4):20–35Google Scholar
  124. Markose SM, Giansante S, Gatkowski M, Shaghaghi AR (2010) Too interconnected to fail: financial contagion and systemic risk in network model of cds and other credit enhancement obligations of US Banks. COMISEF working paper WPS-033, computational optimization methods in statistics, econometrics and finance, Giessen, GermanyGoogle Scholar
  125. Martínez-Jaramillo S, Pérez OP, Embriz FA, Dey FLG (2010) Systemic risk, financial contagion and financial fragility. J Econ Dyn Control 34(11):2358–2374Google Scholar
  126. Mastromatteo I, Zarinelli E, Marsili M (2012) Reconstruction of financial networks for robust estimation of systemic risk. arXiv:1109.6210v2
  127. May RM, Levin SA, Sugihara G (2008) Ecology for bankers. Nature 451(21):893–895Google Scholar
  128. Mistrulli PE (2011) Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns. J Bank Finance 35(5):1114–1127Google Scholar
  129. Montagna M, Kok C (2013) Multi-layered interbank model for assessing systemic risk. Kiel working paper No. 1873Google Scholar
  130. Müller J (2006) Interbank credit lines as a channel of contagion. J Financ Serv Res 29(1):37–60Google Scholar
  131. Nier E, Yang J, Yorulmazer T, Alentorn A (2007) Network models and financial stability. J Econ Dyn Control 31(6):2033–2060Google Scholar
  132. Papademos L (2009) Financial stability and macro-prudential supervision: objectives, instruments and the role of the ECB, speech. CFS conference “The ECB and its watchers XI”, Frankfurt, Germany, 4 Sept 2009Google Scholar
  133. Pegoraro S (2012) Financial fragility and contagion in interbank networks. http://www.ssrn.com/abstract=2246353
  134. Pokutta S, Schmaltz C, Stiller S (2011) Measuring systemic risk and contagion in financial networks. SSRN working paper 1773089Google Scholar
  135. Poledna S, Molina-Borboa JL, van der Leij M, Martinez-Jaramillo S, Thurner S (2015) Multi-layer network nature of systemic risk in financial networks and its implications. J Financ Stab 20:70–81Google Scholar
  136. Puliga M, Caldarelli G, Battiston S (2014) Credit default swaps networks and systemic risk. Sci Rep 4(6822):1–8Google Scholar
  137. Riccetti L, Russo A, Gallegati M (2013) Leveraged network-based financial accelerator. J Econ Dyn Control 37(8):1626–1640Google Scholar
  138. Roukny T, Bersini H, Pirotte H, Caldarelli G, Battiston S (2013) Default cascades in complex networks: topology and systemic risk. Sci Rep 3(2759):1–8Google Scholar
  139. Schweitzer F, Fagiolo G, Sornette D, Vega-Redondo F, Vespignani A, White DR (2009) Economic networks: the new challenges. Science 325(5939):422–425Google Scholar
  140. Segoviano MA, Goodhart CAE (2009) Banking stability measures. IMF working paper 09/04, International Monetary Fund, Washington, DCGoogle Scholar
  141. Shleifer A, Vishny R (2010) Unstable banking. J Financ Econ 97:306–318Google Scholar
  142. Shleifer A, Vishny R (2011) Fire sales in finance and macroeconomics. J Econ Perspect 25(1):29–48Google Scholar
  143. Sieczka P, Sornette D, Holyst JA (2011) The Lehman Brothers effect and bankruptcy cascades. Eur Phys J B 82(3–4):257–269Google Scholar
  144. Soramäki K, Bech ML, Arnold J, Glass RJ, Beyeler WE (2007) The topology of interbank payment flows. Phys A 379(1):317–333Google Scholar
  145. Sordi S, Vercelli A (2012) Heterogeneous expectations and strong uncertainty in a minskyian model of financial fluctuations. J Econ Behav Org 83(3):544–557Google Scholar
  146. Squartini T, van Lelyveld I, Garlaschelli D (2013) Early-warning signals of topological collapse in interbank networks. Sci Rep 3(3357):1–9Google Scholar
  147. Stiglitz JE (2010) Risk and global economic architecture: why full financial integration may be undesirable. Am Econ Rev Pap Proc 100(May):388–392Google Scholar
  148. Taleb NN (2010) The black swan: the impact of the highly improbable, trade, Paperback edn. Random House, New YorkGoogle Scholar
  149. Taleb NN (2011) Antifragility, robustness, and fragility inside the ’Black Swan Domain’. SSRN working paper 1669317Google Scholar
  150. Tedeschi G, Mazloumian A, Gallegati M, Helbing D (2012) Bankruptcy cascades in interbank markets. PLoS ONE 7(12):1–10Google Scholar
  151. Teteryatnikova M (2014) Systemic risk in banking networks: advantages of “tiered” banking systems. J Econ Dyn Control 47:186–210Google Scholar
  152. Thurner S (2011) Systemic financial risk: agent-based models to understand the leverage cycle on national scales and its consequences. January, OECD International Futures ProgrammeGoogle Scholar
  153. Thurner S, Poledna S (2013) DebtRank-transparency: controlling systemic risk in financial networks. Sci Rep 3(1888):1–7Google Scholar
  154. Turner A (2011) Leverage, maturity transformation and financial stability: challenges beyond Basel III, speech. Speech given to Cass business school, 16 March 2011. http://www.mondovisione.com/_assets/files/FSA031611_at.pdf. Accessed 29 Oct 2016
  155. Upper C, Worms A (2004) Estimating bilateral exposures in the german interbank market: is there a danger of contagion? Eur Econ Rev 48(4):827–849Google Scholar
  156. Upper C (2011) Simulation methods to assess the danger of contagion in interbank markets. J Financ Stab 7(3):111–125Google Scholar
  157. Yellen J (2013) Interconnectedness and systemic risk: lessons from the financial crisis and policy implications, speech. Speech Given to the American Economic Association, 4 Jan 2013. http://www.federalreserve.gov/newsevents/speech/Yellen20130104a.pdf. Accessed 29 Oct 2016
  158. Zhou C (2010) Are banks too big to fail? Measuring systemic importance of financial institutions. Int J Cent Bank 6(4):205–250Google Scholar
  159. Zhou C (2013) The impact of imposing capital requirements on systemic risk. J Financ Stab 9(3):320–329Google Scholar
  160. Zigrand J (2010) What do Network Theory and Endogenous Risk Theory Have to Say About the Effects of Central Counterparties on Systemic Stability? Banque de France, Financial Stability Review 14:153–160Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  1. 1.James Madison UniversityHarrisonburgUSA

Personalised recommendations