Systemic risk assessment through high order clustering coefficient

Gian Paolo Clemente, Roy Cerqueti, Rosanna Grassi

Research output: Contribution to journalArticlepeer-review

Abstract

In this article we propose a novelmeasure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic riskwhich is based on the structure, developed at different levels, of clustered neighbours around the nodes of the network. The proposed measure incorporates the generalized concept of clustering coefficient of order l of a node i introduced in Cerqueti et al. (2018). Its properties are also explored in terms of systemic risk assessment. Empirical experiments on the time-varying global banking network show the effectiveness of the presented systemic risk measure and provide insights on how systemic risk has changed over the last years, also in the light of the recent financial crisis and the subsequent more stringent regulation for globally systemically important banks.
Original languageEnglish
Pages (from-to)N/A-N/A
JournalAnnals of Operations Research
DOIs
Publication statusPublished - 2020

Keywords

  • Clustering Coefficient
  • Community structures
  • Cross-border banking
  • Network analysis
  • Systemic risk

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