| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.3390/e20100792 |
| Identifying Systemically Important Companies by Using the Credit Network of an Entire Nation. | |
| Poledna S; Hinteregger A; Thurner S | |
| 发表日期 | 2018 |
| 出处 | Entropy 20 (10): p. 792 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | The notions of systemic importance and systemic risk of financial institutions are closely related to the topology of financial liability networks. In this work, we reconstruct and analyze the financial liability network of an entire economy using data of 50,159 firms and banks. Our analysis contains 80.2% of the total liabilities of firms towards banks and all interbank liabilities in the Austrian banking system. The combination of firm-bank networks and interbank networks allows us to extend the concept of systemic risk to the real economy. In particular, the systemic importance of individual companies can be assessed, and for the first time, the financial ties between the financial and the real economy become explicitly visible. We find that firms contribute to systemic risk in similar ways as banks do. We identify a set of mid-sized companies that carry substantial systemic risk. Their default would affect up to 40% of the Austrian financial market. We find that all firms together create more systemic risk than the entire financial sector. In 2008, the total systemic risk of the Austrian interbank network amounted to only 29% of the total systemic risk of the entire financial network consisting of firms and banks. The work demonstrates that the notions of systemically important financial institutions (SIFIs) can be directly extended to firms. |
| 主题 | Advanced Systems Analysis (ASA) ; Risk & ; Resilience (RISK) |
| 关键词 | credit network systemic importance bank-firm network interbank network systemic risk financial regulation contagion |
| URL | http://pure.iiasa.ac.at/id/eprint/15540/ |
| 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/131256 |
| 推荐引用方式 GB/T 7714 | Poledna S,Hinteregger A,Thurner S. Identifying Systemically Important Companies by Using the Credit Network of an Entire Nation.. 2018. |
| 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 | ||
| entropy-20-00792.pdf（5511KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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