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Multiplex Financial Networks: Revealing the Level of Interconnectedness in the Banking System

Part of the Studies in Computational Intelligence book series (SCI,volume 689)

Abstract

Complex networks models have been useful for the study of systemic risk; however, most of the studies have ignored the true level of interconnectedness in the financial system; in this work we show the missing part on the study of interconnectedness. Furthermore, complexity in modern financial systems has been also an important subject of study. However, we still lack the appropriate metrics to describe such complexity and interconnectedness; moreover, the data available in order to describe and study them is still scarce. In addition, most of the focus on the subject of interconnectedness has been on a single type of network: interbank (exposures) networks. We use a comprehensive set of market interactions that include transactions in the securities markets, payment system flows, interbank loans, cross holding of securities, foreign exchange exposures and derivatives exposures. This the first attempt, to the best of our knowledge, to describe so comprehensively the complexity and interconnectedness in a banking system. We are able to identify the most important institutions in the whole structure in term of their connectedness, the most relevant layer (in structural terms) of the multiplex and the community structure of the Mexican banking system which can be seen as a generalization of the well-known Core-Periphery model.

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The views expressed here are those of the authors and do not reflect the views of the Mexican central bank.

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Correspondence to Alejandro de la Concha .

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de la Concha, A., Martinez-Jaramillo, S., Carmona, C. (2018). Multiplex Financial Networks: Revealing the Level of Interconnectedness in the Banking System. In: Cherifi, C., Cherifi, H., Karsai, M., Musolesi, M. (eds) Complex Networks & Their Applications VI. COMPLEX NETWORKS 2017. Studies in Computational Intelligence, vol 689. Springer, Cham. https://doi.org/10.1007/978-3-319-72150-7_92

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  • DOI: https://doi.org/10.1007/978-3-319-72150-7_92

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