Riskrank to Predict Systemic Banking Crises With Common Exposures

Peter Sarlin, Paolo Giudici, Alessandro Spelta, Kaj-Mikael Björk

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

Abstract

Systemic risk has remained at the nexus of macro-financial research and policymaking in most parts of the world. Much of the attention has focused on understanding implication of the interconnectedness of financial markets. Instead of focusing only on networks, we use and test the utility of network structures in a novel way. We use RiskRank as a framework to test the use of networks of financial systems, and particularly focus on testing the utility of the network dimension of common exposures (funding composition and portfolio overlap). RiskRank provides an ideal playground for testing the extent to which direct and common exposures perform in capturing transmission of financial crises. The results in this paper highlight the importance of common exposures. We show that funding and portfolio composition overlap are significant channels of contagion and should be accounted for when measuring systemic risk.
Original languageEnglish
Title of host publicationProceedings of the 51st Hawaii International Conference on System Sciences (HICSS'18)
Number of pages9
Publication date03.01.2018
Pages1357-1365
ISBN (Print)978-0-9981331-1-9
DOIs
Publication statusPublished - 03.01.2018
MoE publication typeA4 Article in conference proceedings
Event2018 the 51st Hawaii International Conference on System Sciences (HICSS) - Hawaii, United States
Duration: 03.01.201806.01.2018

Keywords

  • 512 Business and Management

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    Sarlin, P., Giudici, P., Spelta, A., & Björk, K-M. (2018). Riskrank to Predict Systemic Banking Crises With Common Exposures. In Proceedings of the 51st Hawaii International Conference on System Sciences (HICSS'18) (pp. 1357-1365) https://doi.org/10.24251/HICSS.2018.168