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Systemic risk: a network approach

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  • Jean-Baptiste Hasse

    (CNRS, EHESS, Centrale Marseille, AMSE)

Abstract

We propose a new measure of systemic risk based on interconnectedness, defined as the level of direct and indirect links between financial institutions in a correlation-based network. Deriving interconnectedness in terms of risk, we empirically show that within a financial network, indirect links are strengthened during systemic events. The relevance of our measure is illustrated at both local and global levels. Our framework offers policymakers a useful toolbox for exploring the real-time topology of the complex structure of dependencies in financial systems and for measuring the consequences of regulatory decisions.

Suggested Citation

  • Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
    • Handle: RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02131-2
    DOI: 10.1007/s00181-021-02131-2
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    Cited by:

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    2. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
    3. Mathias Mandla Manguzvane & Sibusiso Blessing Ngobese, 2023. "A Component Expected Shortfall Approach to Systemic Risk: An Application in the South African Financial Industry," IJFS, MDPI, vol. 11(4), pages 1-14, December.
    4. Jean-Baptiste Hasse & Christelle Lecourt & Souhila Siagh, 2023. "Institutional Stock-Bond Portfolios Rebalancing and Financial Stability," AMSE Working Papers 2322, Aix-Marseille School of Economics, France.
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    6. Tingting Lan & Liuguo Shao & Hua Zhang & Caijun Yuan, 2023. "The impact of pandemic on dynamic volatility spillover network of international stock markets," Empirical Economics, Springer, vol. 65(5), pages 2115-2144, November.

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    More about this item

    Keywords

    Financial networks; Interconnectedness; Systemic risk; Spillover;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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