Category Archives: Research

Financial Networks Research Update 1/2011

By Kimmo Soramäki | Published: March 7, 2011
Its been three months since the last “Research update” and a number of interesting papers have been published meanwhile. Please let me know if you have one to add. An agent-based model of payment systems by Marco Galbiati and Kimmo Soramäki (Journal of Economic Dynamics and Control) builds an agent based model where banks choose the [...]
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Where to publish research?

By Kimmo Soramäki | Published: January 24, 2011
I get this question asked every once in a while and here are some thoughts, personal experiences and little analysis of the Financial Networks Research Database. Looking at the database (n=78), most articles were published as working papers or equivalent, a majority of which in central bank series. This is natural as central banks have access [...]
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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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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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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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Network Analysis and Canada’s Large Value Transfer System

By Kimmo Soramäki | Published: January 13, 2010
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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