Landaberry, V;
Caccioli, F;
Rodriguez-Martinez, A;
Baron, A;
Martinez-Jaramillo, S;
Lluberas, R;
(2021)
The contribution of the intra-firm exposures network to systemic risk.
Latin American Journal of Central Banking
, 2
(2)
, Article 100032. 10.1016/j.latcb.2021.100032.
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Abstract
We propose to use a systemic risk metric for an extended network which includes the inter-bank network, the banks-firms bipartite network, and the intrafirm exposures network in Uruguay. This is the first work, to the best of our knowledge, in which the intra-firm exposures network is estimated with good accuracy by using information from a firm survey. Given that the survey only includes the three most relevant debtors and creditors, we complete the full intra-firm exposures matrix by resorting to Maximum Entropy, Minimum Density and a new method which takes into account the known entries of the matrix obtained from the survey. We show that ignoring intra-firm exposures results in an important underestimation of systemic risk. Moreover, if the marginal liabilities are used as an indicator of the systemic relevance of firms, important network effects are ignored. To conclude, the paper contributes with a precise estimation of the impact of intra-firm exposures to overall systemic risk.
| Type: | Article |
|---|---|
| Title: | The contribution of the intra-firm exposures network to systemic risk |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.latcb.2021.100032 |
| Publisher version: | https://doi.org/10.1016/j.latcb.2021.100032 |
| Language: | English |
| Additional information: | © 2021 The Author(s). Published by Elsevier B.V. on behalf of Center for Latin American Monetary Studies. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
| Keywords: | Systemic risk, Intrafirm network, Bipartite network, RAS algorithm |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10174771 |
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