Author Archives: Kimmo Soramäki

Financial Networks Research Database

By Kimmo Soramäki | Published: January 10, 2011
We have a new year again and its a good time to collect research done last year on financial networks. As last year was quite busy, the collection of papers that I had found or that had been sent to me was getting somewhat long and cumbersome to maintain. As a consequence I decided to [...]
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Financial Networks Research Update

By Kimmo Soramäki | Published: December 7, 2010
Below are a few recent papers that I have come across. Please let me know if you have one to add. Inter-Sector Relations in the Portuguese Economy: an Application of Contingent Claim Analysis by Nuno Silva (Bank of Portugal Financial Stability report) builds a network of bilateral relations between sectors of the Portuguese economy and [...]
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Visualization of intersecting ownership of CDOs

By Kimmo Soramäki | Published: November 3, 2010
Valdis Krebs has prepared an interesting visualization on the intersecting ownership of CDOs using data from ProPublica (see Interactive: CDOs’ Interlocking Ownership). A small picture is reproduced below with green nodes as investment banks and the blue nodes as the various CDOs involved in cross-ownership. See the original page for more details.
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Proceedings from Operationalizing Systemic Risk Monitoring -conference

By Kimmo Soramäki | Published: October 26, 2010
The IMF organized a three-day conference in Washington, D.C. on Operationalizing Systemic Risk Monitoring during May 26–28, 2010.  The conference brought together government officials, academics, and private sector participants to discuss (i) Operational Frameworks for the Identification of Systemically Important Financial Institutions, Markets, and Instruments (SIMIs) (day 1); (ii) Measuring and Monitoring Leverage, Liquidity, and [...]
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Update on financial network research

By Kimmo Soramäki | Published: September 1, 2010
The summer was a busy time for research on financial networks, ranging from interlinkages between economies via interbank money markets to financial infrastructures. One sentence summaries of eight papers are below.  Let me know if you have a relevant paper or work that I can add to the list. “Analysing Interconnectivity among Economies” Alfred Wong and Tom [...]
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Systemically important banks get better terms for their overnight borrowing

By Kimmo Soramäki | Published: July 2, 2010
A new paper by Farooq Akram and Casper Christophersen entitled “Interbank overnight interest rates – gains from systemic importance” analyses the Norwegian overnight interbank interest rates paid by banks. They find that during the Financial crisis, the interest rates were substantially below indicative quotes of interest rates provided by major banks. The interest rate variation [...]
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Workshop on “Frameworks for Systemic Risk Monitoring”

By Kimmo Soramäki | Published: June 9, 2010
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 [...]
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Financial Networks and Financial Stability

By Kimmo Soramäki | Published: June 3, 2010
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 fail”, [...]
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New Models on Financial Linkages

By Kimmo Soramäki | Published: May 18, 2010
Cross-Border Financial Surveillance: A Network Perspective (IMF Working Paper 105 , April 2010 ) by Marco Espinosa-Vega and Juan Sole 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 [...]
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Conferences on financial networks in May

By Kimmo Soramäki | Published: May 10, 2010
Risk Europe 2010 (Frankfurt, 25-28 May) will have a seminar on “Using financial network models for counterparty risk analysis: from micro to macro” 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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