Interbank markets and multiplex networks: centrality measures and statistical null models

DOI10.1007/978-3-319-23947-7_11MaRDI QIDQ5350409zbMATH OpenOpenAlexFDO

Authors Leonardo Bargigli, Giovanni di Iasio, Luigi Infante, Fabrizio Lillo, Federico Pierobon

Publication date 31 August 2017

Published in Understanding Complex Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.05751

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40) Actuarial science and mathematical finance (91G99)

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.

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Cited in

(10)

• Bank multiplex networks and systemic risk
• Input–output-based measures of systemic importance
• Empirical Analysis of the Architecture of the Interbank Market and Credit Market Using Network Theory
• Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
• Shareholding Networks and Centrality: An Application to the Italian Financial Market
• Connectivity, centralisation and `robustness-yet-fragility' of interbank networks
• Multiplex networks of the guarantee market: evidence from China
• The multiplex dependency structure of financial markets
• The multiplex structure of interbank networks
• Modelling the emergence of the interbank networks

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