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Global Banking on the Financial Network Modelling: Sectorial Analysis

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  • Fathin Faizah Said

    (Universiti Kebangsaan Malaysia)

Abstract

This article is particularly concentrated on measuring systemic risk based on network topology of bilateral exposures and obligations specifically for the sectoral level of global banking systems in 2010. Financial network models based on financial exposures are models that aim to depict causal chains of exposures and obligations of counterparties rather than rely solely on statistical correlations on market price-based data for financial institutions. Our starting point is the bilateral claims of the ultimate risk of the main institutional sectors that include banks, non-bank private sectors and non-allocated sectors of the 10 reporting countries that consist of Belgium, France, Germany, Italy, Japan, Spain, Switzerland, Turkey, the United Kingdom and the United States of America. The other non-reporting countries will be merged into one group. The results show that banking systems in countries such as the United States and the United Kingdom in particular are making vast amounts of foreign investments, implying that they constitute a central hub in the core. The results in the contagion effect show that all of the other countries are collapsed after a shock from a core country such as the United Kingdom in both rates of loss given defaults of 100 and 60 %.

Suggested Citation

  • Fathin Faizah Said, 2017. "Global Banking on the Financial Network Modelling: Sectorial Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 227-253, February.
    • Handle: RePEc:kap:compec:v:49:y:2017:i:2:d:10.1007_s10614-015-9556-x
    DOI: 10.1007/s10614-015-9556-x
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    More about this item

    Keywords

    Global banking; Financial Network; Systemic risk;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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