Battiston, S;
Puliga, M;
Kaushik, R;
Tasca, P;
Caldarelli, G;
(2012)
DebtRank: Too central to fail? Financial networks, the FED and systemic risk.
Scientific Reports
, 2
, Article 541. 10.1038/srep00541.
Preview |
Text
srep00541.pdf - Other Download (2MB) | Preview |
Abstract
Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. However, there is no widely accepted methodology to determine the systemically important nodes in a network. To fill this gap, we introduce, DebtRank, a novel measure of systemic impact inspired by feedback-centrality. As an application, we analyse a new and unique dataset on the USD 1.2 trillion FED emergency loans program to global financial institutions during 2008g-2010. We find that a group of 22 institutions, which received most of the funds, form a strongly connected graph where each of the nodes becomes systemically important at the peak of the crisis. Moreover, a systemic default could have been triggered even by small dispersed shocks. The results suggest that the debate on too-big-to-fail institutions should include the even more serious issue of too-central-to-fail.
| Type: | Article |
|---|---|
| Title: | DebtRank: Too central to fail? Financial networks, the FED and systemic risk |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1038/srep00541 |
| Publisher version: | https://doi.org/10.1038/srep00541 |
| Language: | English |
| Additional information: | This work is licensed under a Creative Commons Attribution-NonCommercial-ShareALike 3.0 Unported License. To view a copy of this license, visit http://creativecommons.org/licenses/by-nc-sa/3.0/ |
| 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/10179673 |
Loading...
Loading...Loading...Loading...Archive Staff Only
 |
View Item |
