Systemic risk assessment through high order clustering coefficient

DOI10.1007/S10479-020-03525-8MaRDI QIDQ2241111zbMATH OpenOpenAlexFDO

Authors Roy Cerqueti, Gian Paolo Clemente, Rosanna Grassi

Publication date 8 November 2021

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.13250, https://openresearch.lsbu.ac.uk/download/d0665f918529d7b178007a7fece8998b14a96049ad392583a01f92aa7bea77dd/3960070/AOR_R1_04102019.pdf

zbMATH Keywords

clustering coefficientcommunity structurescross-border bankingnetwork analysissystemic risk

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Abstract: In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at different levels, of clustered neighbours around the nodes of the network. The proposed measure incorporates the generalized concept of clustering coefficient of order $l$ of a node $i$ introduced in Cerqueti et al. (2018). Its properties are also explored in terms of systemic risk assessment. Empirical experiments on the time-varying global banking network show the effectiveness of the presented systemic risk measure and provide insights on how systemic risk has changed over the last years, also in the light of the recent financial crisis and the subsequent more stringent regulation for globally systemically important banks.

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Cites work

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Cited in

(10)

• Evaluating systemic risk using bank default probabilities in financial networks
• Measuring network systemic risk contributions: a leave-one-out approach
• Generalized rich-club ordering in networks
• Does the default pecking order impact systemic risk? Evidence from Brazilian data
• Financial interbanking networks resilience under shocks propagation
• The effect of liquidity creation on systemic risk: evidence from European banking sector
• Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
• Higher-order assortativity for directed weighted networks and Markov chains
• Cliometrics of world stock markets evolving networks
• Clustering networked funded European research activities through rank-size laws

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