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Author Archives: Kimmo
Workshop on “Frameworks for Systemic Risk Monitoring”
Committee to Establish a National Institute of Finance (CE-NIF), the Center for Financial Policy at the R.H. Smith School of Business at the University of Maryland and the Pew Financial Reform Project are organizing a workshop on “Frameworks for Systemic Risk Monitoring.” It will be held in Washington DC on June 21-22, 2010.
The conference brings together [...]
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Financial Networks and Financial Stability
The European Central Bank published on 1 June a special feature entitled “Financial Networks and Financial Stability” in its Financial Stability Review.
The recent global fi nancial crisis has illustrated
the role of fi nancial linkages as a channel for
the propagation of shocks. It also brought to
the fore the concept that institutions may be
“too interconnected to failâ€, [...]
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New Models on Financial Linkages
Cross-Border Financial Surveillance: A Network Perspective (IMF Working Paper 105 , April 2010 ) by Marco Espinosa-Vega and Juan Solé simulates different credit and funding shocks to the banking systems of a number of countries. Using cross-country bilateral exposures data from BIS they illustrate the contagion algorithms presented in the paper.
In a similar vein Assessing the Systemic Implications of Financial [...]
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Conferences on financial networks in May
Risk Europe 2010 (Frankfurt, 25-28 May) will have a seminar on “Using financial network models for counterparty risk analysis: from micro to macro” Â by Olli Castren (European Central Bank) and a session on “Using network theory to assess systemic risk” presented by me. Risk Europe is the Risk Magazines annual flagship event and carries this [...]
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IMF report on using network models as basis for charges on systemically important banks
Recently the idea has been floated that systemically important financial institutions should be charged insurance premia to cover for government support in times of stress. The recent IMF report (April 2010)Â for G20 ministers now suggests that:
A risk-adjusted rate could be designed to address the contribution to systemic risk. Ideally, the rate would vary according to the [...]
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Europe’s web of debt in New York Times
New YorkTimes (1 May 2010) published a great visualization (Bill Marsh / The New York Times) of the debt relationships between European countries based on public data by BIS. Its reproduced below.
The Visual Science series of New York Times has many other captivating visualizations of data as well.
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ECB promotes research on emerging front: “Too networked to fail”
The ECB conference "Recent advances in modelling systemic risk using network analysis" was featured today in Securities Operations Week – a weekly publication focused on US and global securities operations, technology and compliance:
"The financial crisis that began to emerge in 2007 and that gained steam in 2008 famously gave rise to the oft-cited slogan “too [...]
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Network Analysis and Canada’s Large Value Transfer System
A recent paper by Lana Embree and Tom Roberts looks at the daily and intraday network structure of payment activity in the Canadian Large Value Transfer System (LVTS). The paper provides a good overview of the concepts and a nice comparison of emprical research in several payment networks. For LVTS they find that it is [...]
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New research on financial networks from 2009
The year 2009 is now gone and its time to look back at the research on financial networks and related topics from that year. Here are some that I found. Please help me add to the list.
Liasons Dangereuses: Incresing connectivity, risk sharing and systemic risk (by Stefano Battiston, Domenico Delli Gatti, Mauro Gallegati, Bruce C. [...]
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Systemically important banks get better terms for their overnight borrowing