IDEAS home Printed from https://ideas.repec.org/a/ksa/szemle/945.html
   My bibliography  Save this article

Az ügyfélelvándorlás kereskedelmi banki modellezése
[Modelling the migration of commercial bank clients]

Author

Listed:
  • Lublóy, Ágnes
  • Szenes, Márk

Abstract

Tanulmányunkban a hálózatelmélet segítségével a bankok vállalati ügyfélportfóliójára vonatkozó ügyfélelvándorlás jelenségét modellezzük. Valós adatok hiányában először egy többszereplős bankpiac vállalati ügyfelei által alkotott hálózatot generálunk. A hálózat csomópontjai maguk a vállalatok, a vállalat banki hovatartozása a csomópont egy belső koordinátájának felel meg. Az irányított éleken a vállalatok közötti - a vállalat saját bankján vagy más bankon keresztül lebonyolított - átutalások zajlanak. A generált hálózat alapján vizsgálatunk középpontjában a bankválasztási stratégia egyensúlyi tulajdonságai és az ügyfélelvándorlás jelensége áll. Modellünkben - a neoklasszikus egyensúlyelmélet egyik fő állításával ellentétben - a piaci egyensúly nem egyértelmű, több egyensúlyi állapot alakulhat ki. Az ügyfélelvándorlás modellezése során azt tapasztaltuk, hogy a vállalati ügyfelek hálózatában az esetek háromnegyed részében nincs újabb elvándorló ügyfél. A legrosszabb esetben jelentős elvándorlási hullámok is kialakulnak. Végezetül arra kerestünk választ, hogy az ügyfélelvándorlás szempontjából kulcsfontosságú vállalatok milyen topológiai tulajdonsággal jellemezhetők. Megállapítjuk, hogy az ügyfélelvándorlás szempontjából kulcsfontosságú vállalatokat nem minden esetben jellemzi partnereinek száma. Journal of Economic Literute (JEL) kód: C15, C62, D53, D85, G21, L14.

Suggested Citation

  • Lublóy, Ágnes & Szenes, Márk, 2007. "Az ügyfélelvándorlás kereskedelmi banki modellezése [Modelling the migration of commercial bank clients]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 915-934.
    • Handle: RePEc:ksa:szemle:945
    as

    Download full text from publisher

    File URL: http://www.kszemle.hu/tartalom/letoltes.php?id=945
    Download Restriction: Registration and subscription. 3-month embargo period to non-subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007. "The topology of interbank payment flows," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 317-333.
    2. Luís M B Cabral & José Mata, 2003. "On the Evolution of the Firm Size Distribution: Facts and Theory," American Economic Review, American Economic Association, vol. 93(4), pages 1075-1090, September.
    3. Toivonen, Riitta & Onnela, Jukka-Pekka & Saramäki, Jari & Hyvönen, Jörkki & Kaski, Kimmo, 2006. "A model for social networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 851-860.
    4. Barabási, Albert-László & Albert, Réka & Jeong, Hawoong, 1999. "Mean-field theory for scale-free random networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 272(1), pages 173-187.
    5. Thushyanthan Baskaran & Tilman Brück, 2005. "Scale-Free Networks in International Trade," Discussion Papers of DIW Berlin 493, DIW Berlin, German Institute for Economic Research.
    6. Hajime Inaoka & Takuto Ninomiya & Ken Taniguchi & Tokiko Shimizu & Hideki Takayasu, 2004. "Fractal Network derived from banking transaction -- An analysis of network structures formed by financial institutions --," Bank of Japan Working Paper Series 04-E-4, Bank of Japan.
    7. Ongena, Steven & Smith, David C., 2000. "What Determines the Number of Bank Relationships? Cross-Country Evidence," Journal of Financial Intermediation, Elsevier, vol. 9(1), pages 26-56, January.
    8. R. Kinney & P. Crucitti & R. Albert & V. Latora, 2005. "Modeling cascading failures in the North American power grid," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 46(1), pages 101-107, July.
    9. Battiston, Stefano & Bonabeau, Eric & Weisbuch, Gérard, 2003. "Decision making dynamics in corporate boards," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 567-582.
    10. Taisei Kaizoji & Hiroshi Iyetomi & Yuichi Ikeda, 2005. "Re-examination of the size distribution of firms," Papers physics/0512124, arXiv.org, revised Mar 2006.
    11. Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
    12. Stanley, Michael H. R. & Buldyrev, Sergey V. & Havlin, Shlomo & Mantegna, Rosario N. & Salinger, Michael A. & Eugene Stanley, H., 1995. "Zipf plots and the size distribution of firms," Economics Letters, Elsevier, vol. 49(4), pages 453-457, October.
    13. Barabási, A.L & Jeong, H & Néda, Z & Ravasz, E & Schubert, A & Vicsek, T, 2002. "Evolution of the social network of scientific collaborations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 311(3), pages 590-614.
    14. Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "Network topology of the interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 677-684.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sam Langfield & Kimmo Soramäki, 2016. "Interbank Exposure Networks," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 3-17, January.
    2. Montagna, Mattia & Lux, Thomas, 2014. "Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information," Kiel Working Papers 1937, Kiel Institute for the World Economy (IfW Kiel).
    3. Bech, Morten L. & Atalay, Enghin, 2010. "The topology of the federal funds market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5223-5246.
    4. Caballero, Julián, 2012. "Banking Crises and Financial Integration," IDB Publications (Working Papers) 4198, Inter-American Development Bank.
    5. Teteryatnikova, Mariya, 2014. "Systemic risk in banking networks: Advantages of “tiered” banking systems," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 186-210.
    6. Fasianos, Apostolos & Lydon, Reamonn & McIndoe-Calder, Tara, 2017. "The Balancing Act: Household Indebtedness Over the Lifecycle," Quarterly Bulletin Articles, Central Bank of Ireland, pages 46-61, April.
    7. Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
    8. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
    9. Karl Finger & Daniel Fricke & Thomas Lux, 2013. "Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes," Computational Management Science, Springer, vol. 10(2), pages 187-211, June.
    10. Montagna, Mattia & Lux, Thomas, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information," FinMaP-Working Papers 8, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    11. Di Xiao & Andreas Krause, 2023. "Balancing liquidity and returns through interbank markets: Endogenous interest rates and network structures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 131-149, February.
    12. Wetherilt, Anne & Zimmerman, Peter & Soramaki, Kimmo, 2010. "The sterling unsecured loan market during 2006-08: insights from network theory," Bank of England working papers 398, Bank of England.
    13. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    14. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
    15. Ozili, Peterson K, 2017. "Earnings Management in Interconnected Networks: A Perspective," MPRA Paper 92647, University Library of Munich, Germany.
    16. Pablo Rovira Kaltwasser & Alessandro Spelta, 2019. "Identifying systemically important financial institutions: a network approach," Computational Management Science, Springer, vol. 16(1), pages 155-185, February.
    17. Downey, Claire & Lyons, Paul & O'Malley, Terry, 2017. "Monitoring Ireland’s Payments using TARGET2," Quarterly Bulletin Articles, Central Bank of Ireland, pages 81-95, April.
    18. Ryan, Ellen, 2017. "The Role of Macroprudential Indicators in Monitoring Systemic Risk and Setting Policy," Quarterly Bulletin Articles, Central Bank of Ireland, pages 62-80, April.
    19. Elosegui, Pedro & Forte, Federico D. & Montes-Rojas, Gabriel, 2022. "Network structure and fragmentation of the Argentinean interbank markets," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
    20. Accominotti, Olivier & Lucena-Piquero, Delio & Ugolini, Stefano, 2023. "Intermediaries’ substitutability and financial network resilience: A hyperstructure approach," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).

    More about this item

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ksa:szemle:945. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Odon Sok (email available below). General contact details of provider: http://www.kszemle.hu .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.