Correlation and Contagion as Sources of Systemic Risk

Frey, Rüdiger; Hledik, Juraj

doi:10.2139/ssrn.2541733

Cited by 5 publications

(2 citation statements)

References 19 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The second and third innovations refer to contagion modeling. The obtained correlation index ρ i is used in Drehmann and Tarashev (2013) and in Frey and Hledik (2014) for combining an idiosyncratic shock, specific for each considered country, and a common shock, so as to include the effects of common risk sources, of macro variables, and of the business cycle.…”

Section: Methodsmentioning

confidence: 99%

Modeling and Simulating Cross Country Banking Contagion Risks

Zedda

Spinace-Casale

2021

JRFM

View full text Add to dashboard Cite

The recent financial crisis proved that financial contagion could spread among countries resulting in disruptive effects. In this paper, by modeling and simulating banking system behavior and linkages across countries, we assess, based on data from the BIS and IMF, the possible outcome of domestic crises and how contagion spreads over countries. Results allow detailing the role of a “lighter” or of a “fueler” of financial crises for each country and assessing how each country can affect each other country by contagion, signaling the importance of financial interdependence between some neighboring countries, and detailing which counterpart country would be affected by the ring-fencing of each considered country’s banking system. The method also allows for what-if analyses to optimize the risk exposures, and to plan an emergency strategy in case of alarms coming from specific countries.

show abstract

Section: Methodsmentioning

confidence: 99%

Modeling and Simulating Cross Country Banking Contagion Risks

Zedda

Spinace-Casale

2021

JRFM

View full text Add to dashboard Cite

show abstract

“…Other notable papers on systemic risk include, for example, Glasserman and Young (2016) or Acemoglu, Ozdaglar, and Tahbaz-Salehi (2015), while Upper (2011) provides an excellent survey of regulatory-published scientific reports on the subject. With respect to the questions on diversification, we refer the reader to Elliott, Golub, and Jackson (2014) and Frey and Hledik (2014) where a nontrivial relationship between diversification and contagious defaults is presented, or to Goncharenko, Hledik, and Pinto (2015) where banks endogenously choose their level of diversification in an equilibrium setting. Our paper relates to these works, since it is the structure of a financial network we are studying, while exploring the questions regarding diversification at the same time.…”

Section: Introductionmentioning

confidence: 99%

A dynamic network model to measure exposure diversification in the Austrian interbank market

Hledik¹,

Rastelli²

2018

Preprint

Self Cite

View full text Add to dashboard Cite

We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more inclined to distribute their assets equally among partners, or if they rather concentrate their commitment towards a limited number of institutions. Crucially, a Markov property is introduced to capture time dependencies and to make our measures comparable across time. We apply the model on an original dataset of Austrian interbank exposures. The temporal * The authors are with the WU-Vienna University of Economics and Business. Welthandelsplatz 1, Vienna. The authors kindly acknowledge the financial support of the Austrian Science Fund (FWF) as well as the possibility to use data provided by Austrian National Bank (OeNB). This research was also supported by the Vienna Science and Technology Fund (WWTF) Project MA14-031. All errors are our own responsibility.

show abstract

Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model

Grundke

2018

Rev Quant Finan Acc

View full text Add to dashboard Cite

Correlation and Contagion as Sources of Systemic Risk

Cited by 5 publications

References 19 publications

Modeling and Simulating Cross Country Banking Contagion Risks

Modeling and Simulating Cross Country Banking Contagion Risks

A dynamic network model to measure exposure diversification in the Austrian interbank market

Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model

Contact Info

Product

Resources

About