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Systemic Risk: a Network Approach

Abstract : We propose a new measure of systemic risk based on interconnectedness, defined as the level of direct and indirect links between financial institutions in a correlation-based network. Deriving interconnectedness in terms of risk, we empirically show that within a financial network, indirect links are strengthened during systemic events. The relevance of our measure is illustrated at both local and global levels. Our framework offers policymakers a useful toolbox for exploring the real-time topology of the complex structure of dependencies in financial systems and for measuring the consequences of regulatory decisions.
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Contributor : Elisabeth Lhuillier <>
Submitted on : Wednesday, July 8, 2020 - 3:20:28 PM
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WP 2020 - Nr 25.pdf
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  • HAL Id : halshs-02893780, version 1



Jean-Baptiste Hasse. Systemic Risk: a Network Approach. 2020. ⟨halshs-02893780⟩



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