How to measure interconnectedness between banks, insurers and financial conglomerates

Author:

Hauton Gaël1,Héam Jean-Cyprien2

Affiliation:

1. Autorité de Contrôle Prudentiel et de Résolution (ACPR), 61 rue Taitbout, 75009 Paris, France

2. Autorité de Contrôle Prudentiel et de Résolution (ACPR); and CREST-LFA, 15 Boulevard Gabriel Péri, 92245 Malakoff cedex, France

Abstract

Abstract Financial institutions’ interconnectedness is a key component of systemic risk. However there is still no consensus on its measurement. Using a unique database of network of exposures of French financial institutions, we compare three strategies to measure interconnectedness: closeness of exposure distributions, identification of core-periphery structure and contagion models. The closeness of exposure distributions is adequate to identify outlier institutions. The “core-periphery” structure, usually applied to banking network, is still valid with insurance companies. However this approach is not immune to size effect. This result contrasts with previous analyses where size was not accounted for. Contagion-based stress-tests are the best suited to capture institutions’ systemic fragility, emphasizing their importance as a supervisory tool.

Publisher

Walter de Gruyter GmbH

Subject

Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Reference37 articles.

1. Alves I., Brinkhoff J., Georgiev S., Héam J.-C., Moldovan I. and di Marco S., Network analysis of the EU insurance sector, Technical Report 7, European Systemic Risk Baord, 2015.

2. Alves I., Ferrari S., Franchini P., Héam J.-C., Jurca P., Langfield S., Laviola S., Liedorp F., Sanchez A., Tavolaro S. and Vuillemey G., The structure and resilience of the European interbank market, Technical Report 3, European Systemic Risk Baord, 2013.

3. Barigozzi M. and Brownlees C. T., Nets: Network estimation for time series, Technical Report, Social Science Research Network, 2014, http://ssrn.com/abstract=2249909.

4. BCBS , Global systemically important banks: updated assessment methodology and the higher loss absorbency requirement, Technical Report, Basel Committee on Banking Supervision, 2013.

5. BCBS , Supervisory framework for measuring and controlling large exposures, Technical Report, Basel Committee on Banking Supervision, 2014.

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Systemic Risk in Financial Networks: A Survey;Annual Review of Economics;2021-08-05

2. Systemic Risk in Financial Networks: A Survey;SSRN Electronic Journal;2020

3. CCP Resilience and Clearing Membership;SSRN Electronic Journal;2015

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3