- This blog is intended as a focal point for financial network analysis. The analysis of financial networks is a new and growing field that enhances our understanding of the structure of the financial web through cartography and modelling. Please sign up at the LinkedIn group or contact me for more information.
Subscribe for new posts
-
Category Archives: Research
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€, [...]
Posted in Research Leave a comment
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 [...]
Posted in Research Leave a comment
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 [...]
Posted in Research Comments closed
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. [...]
Posted in Research Comments closed
Workshop on Financial Networks and Risk Assessment
MITACS is organizing a Workshop on Financial Networks and Risk Assessment, taking place in Toronto from May 19 to May 21, 2010. The workshop is part of the MITACS International Focus Period on Advances in Network Analysis and its Applications and will be attended by 30-50 specialists in the field (from academia and business) as [...]
Also posted in Conferences Comments closed
Informational Properties of Trading Networks
There is a new interesting paper "On the Informational Properties of Trading Networks" by Adamic, Brunetti Harris and Kirilenko using transaction level data for all regular transactions in September 2008 E-mini S&P 500 futures contracts.
They construct networks from executed trades and then look at the structure of these networks and relate them to returns, volatility, [...]
Posted in Research Comments closed
ECB workshop on “Recent advances in modelling systemic risk using network analysis”
European Central Bank (ECB) organized a workshop with the above title last Monday, 5th of October. It was the first event of this scale gathering researchers applying network theory and network analysis on banking, financial stability and systemic risk topics. The introductory remarks to the workshop were given by Gertrude Tumpel-Gugerell, Member of the ECB’s [...]
Also posted in Conferences Comments closed
Receipt reactive gross settlement simulator
The Receipt Reactive Gross Settlement (RRGS) method was proposed by Jamie McAndrews in Johnson-McAndrews and Soramaki (2004) as a new, incentive compatible liquidity saving mechanism. The basic idea of RRGS is that banks are sure to use only incoming funds to settle their less urgent payments. Each bank has the incentive to submit payments to [...]
Also posted in Tools and software Comments closed
7th Bank of Finland Simulation seminar
The Bank of Finland’s simulation seminar was organized for the 7th time on 24-26 August 2009. I thought both the talks and the discussions on the agenda this year were of high quality. I presented some work done together with Marco Galbiati on central counterparties and the topology of clearing networks. The conference covered analysis [...]
Also posted in Conferences Comments closed
Systemically important banks get better terms for their overnight borrowing