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Key Borrowers Detected By The Intensities Of Their Short-range Interactions

Author

Listed:
  • Fuad Aleskerov

    (National Research University Higher School of Economics)

  • Irina Andrievskaya

    (National Research University Higher School of Economics)

  • Elena Permjakova

    (National Research University Higher School of Economics)

Abstract

The issue of systemic importance has received particular attention since the recent financial crisis when it came to the fore that an individual financial institution can disturb the whole financial system. Interconnectedness is considered as one of the key drivers of systemic importance. Several measures have been proposed in the literature in order to estimate the interconnectedness of financial institutions and systems. However, most of them lack an important dimension of this characteristic: intensities of agent interaction. This paper proposes a novel method that solves this issue. A distinctive feature of our approach is that it takes into consideration not just the interconnectedness of agents but also their interaction intensities. The approach is based on the power index and centrality analysis and is employed to find a key borrower in a loan market. To illustrate the feasibility of our methodology we apply it at the European Union level and find key countries-borrowers.

Suggested Citation

  • Fuad Aleskerov & Irina Andrievskaya & Elena Permjakova, 2014. "Key Borrowers Detected By The Intensities Of Their Short-range Interactions," HSE Working papers WP BRP 33/FE/2014, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:33/fe/2014
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    References listed on IDEAS

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    Cited by:

    1. F. Aleskerov & N. Meshcheryakova & S. Shvydun, 2016. "Centrality measures in networks based on nodes attributes, long-range interactions and group influence," Papers 1610.05892, arXiv.org.
    2. Fuad Aleskerov & Irina Gavrilenkova & Sergey Shvydun & Vyacheslav Yakuba, 2020. "Power Distribution in the Networks of Terrorist Groups: 2001–2018," Group Decision and Negotiation, Springer, vol. 29(3), pages 399-424, June.
    3. Aleskerov, F. & Badgaeva, D. & Pislyakov, V. & Sterligov, I. & Shvydun, S., 2016. "An Importance of Russian and International Economic Journals: a Network Approach," Journal of the New Economic Association, New Economic Association, vol. 30(2), pages 193-205.
    4. Рубинштейн Александр Яковлевич, "undated". "Ранжирование Российских Экономических Журналов: Научный Метод Или «Игра В Цыфирь»? [Ran Ranking of Russian Economic Journals: The Scientific Method or “Numbers Game”?]," Working papers a:pru175:ye:2016:1, Institute of Economics.

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    More about this item

    Keywords

    Power index; key borrower; systemic importance; interconnectedness; centrality;
    All these keywords.

    JEL classification:

    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • G2 - Financial Economics - - Financial Institutions and Services

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