| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.jfs.2015.08.001 |
| The multi-layer network nature of systemic risk and its implications for the costs of financial crises. | |
| Poledna S; Molina-Borboa JL; Martinez-Jaramillo S; van der Leij M; Thurner S | |
| 发表日期 | 2015 |
| 出处 | Journal of Financial Stability 20: 70-81 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic rsk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked trough networks of different types of financial contracts, such as credit, derivatives, foreign exchange, and securities. The interplay of the various exposure networks can be represented as layers in a financial multi-layer network. In this work we quantify the daily contributions to systemic risk from four layers of the Mexican banking system from 2007 to 2013. We show that focusing on a single layer understimates the total systemic risk by up to 90%. By assigning systemic risk levels to individual banks we study the systemic risk profile of the Mexican banking system on all market layers. This profile can be used to quantify systemic risk on a national level in terms of nation-wide expected systemic losses. We show that market-based systemic risk indicators systematically underestimate expected systemic losses. We find that expected systemic losses are up to a factor of four higher now than before the financial crisis of 2007-2008. We find that systemic risk contributions of individual transactions can be up to a factor of one thousand higher than the corresponding credit risk, which creates huge risks for the public. We find an intriguing non-linear effect whereby the sum of systemic risk of all layers underestimates the total risk. The method presented here is the first objective data-driven quantification of systemic risk on national scales that reveal its true levels. |
| 主题 | Advanced Systems Analysis (ASA) ; Risk & ; Resilience (RISK) ; Risk, Policy and Vulnerability (RPV) |
| 关键词 | multiplex networks quantitative social science risk propagation cascading failure systemic risk mitigation financial regulation |
| URL | http://pure.iiasa.ac.at/id/eprint/11393/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130245 |
| 推荐引用方式 GB/T 7714 | Poledna S,Molina-Borboa JL,Martinez-Jaramillo S,et al. The multi-layer network nature of systemic risk and its implications for the costs of financial crises.. 2015. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| The%20multilayer%20n（3581KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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