An Empirical Study of the Mexican Banking System’s Network and its Implications for Systemic Risk

Abstract

With the purpose of measuring and monitoring systemic risk, some topological properties of the interbank exposures and the payments system networks are studied. We propose non-topological measures which are useful to describe the individual behavior of banks in both networks. The evolution of such networks is also studied and some important conclusions from the systemic risks perspective are drawn. A unified measure of interconnectedness is also created. The main findings of this study are: the payments system network is strongly connected in contrast to the interbank exposures network; the type of exposures and payment size reveal different roles played by banks; behavior of banks in the exposures network changed considerably after Lehmans failure; interconnectedness of a bank, estimated by the unified measure, is not necessarily related with its assets size.

Computational Linguistic and SNA to Classify and Prevent Systemic Risk in the Colombian Banking Industry

“…The case of the interbank market in Italy, analyzed in a multilayer network approach, shows a core-periphery and disassortative structure in which few banks hold the power to control the financial system (Bargigli et al, 2015). In Latin America, Mexico's case shows that inter-banking networks based on payment relationships also fit a core-periphery model (Martinez-Jaramillo et al, 2014). Meanwhile, the case of Brazil (Cont et al, 2012) shows substantial similarity to the inter-bank network structure presented by Boss et al (2004) for the Austrian financial system.…”

A Multi-Layer Network of the Sovereign Securities Market

“…The power-law or Pareto distribution of links is commonly referred as a scale-free network (Barabási and Albert, 1999), and it corresponds to the most documented type of network in social, biological and manmade complex systems. 5 In the case of financial networks, most literature confirms their scale-free nature León and Berndsen, 2014;Bargigli et al, 2013;Fricke and Lux, 2012;Bech and Atalay, 2008;Pröpper et al, 2008;May et al, 2008;Cepeda, 2008;Renault et al 2007;Soramäki et al, 2006;Inaoka et al, 2004;Boss et al, 2004), whereas other papers confirm their inhomogeneity but report a divergence from a strict power-law distribution of links (Martínez-Jaramillo et al, 2012;van Lelyveld and in 't Veld, 2012;Craig and von Peter, 2010). 6 Yet, as highlighted by Cardillo et al (2013), "many biological and man-made networked systems are characterized by the simultaneous presence of different sub-networks organized in separate layers, with connections and participants of qualitatively different types" (p.1).…”