Interbank Markets and Multiplex Networks: Centrality Measures and Statistical Null Models

Abstract

The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the recent theoretical and empirical literature, for assessing systemic risk and identifying systematically important financial institutions. Different types of links, for example in terms of maturity and collateralization of the claim/obligation, can be established between financial institutions. Therefore a natural representation of the interbank structure which takes into account more features of the market, is a multiplex, where each layer is associated with a type of link. In this paper we review the empirical structure of the multiplex and the theoretical consequences of this representation. We also investigate the betweenness and eigenvector centrality of a bank in the network, comparing its centrality properties across different layers and with Maximum Entropy null models.

Identifying Systemically Important Banks and Firms Based on a Multilayer DebtRank Model

“…In other words, most banks possess larger node degrees and are at the core of the bank-firm network while a few banks and all firms have smaller node degrees and are at the periphery of the bank-firm network. is indicates that the bank-firm system constructed in this paper has always shown a significant core-periphery structure at different times, which is also verified in the empirical study of Bargigli et al [23]. is also means that most banks in the whole bank-firm system are highly active while a few banks and all firms have relatively low activities.…”

A Review of Micro-Based Systemic Risk Research from Multiple Perspectives

“…The research on financial multi-layer networks is surging. [ 113 ] study the interaction of short- and long-term bilateral secured and unsecured lending. [ 114 ] study the Mexican banking system on all market layers and find that market-based systemic risk indicators systematically underestimate expected systemic losses.…”

Multiplex Networks of the Guarantee Market: Evidence from China

“…In the paper we analyze mostly betweenness and eigenvector centrality. The betweenness centrality quantifies how frequently a node acts as a bridge along the shortest path between two other nodes and is computed as follows [23]:…”

“…In fact, financial institutions interact in many ways. Such a situation is best modeled with a multiplex network, where a multiplex network is made up with several layers, each of them composed of all relations of the same type and modeled with a simple network [23]. Multiplex networks can explicitly incorporate multiple channels of connectivity and constitute the natural environment to describe systems interconnected through different categories of connections [24].…”