Global Banking on the Financial Network Modelling

Sectorial Analysis

Research output: Contribution to journalArticle

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 %.

Original languageEnglish
Pages (from-to)1-27
Number of pages27
JournalComputational Economics
DOIs
Publication statusAccepted/In press - 2 Jan 2016

Fingerprint

Topology
Modeling
Banking
Financial networks
Banking system
Obligation
Bilateral
Japan
Hub
Turkey
Market price
Loss given default
Network topology
Germany
France
Systemic risk
Private sector
Spain
Financial institutions
Contagion effect

Keywords

  • Financial Network
  • Global banking
  • Systemic risk

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

Cite this

Global Banking on the Financial Network Modelling : Sectorial Analysis. / Said, Fathin Faizah.

In: Computational Economics, 02.01.2016, p. 1-27.

Research output: Contribution to journalArticle

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