“Too central to fail” systemic risk measure using PageRank algorithm
•Proposes a method, “Rank,” to quantify network relationships between financial institutions from “too central to fail” perspective.•Uses PageRank algorithm to determine financial systemic risks.•Compares Rank with well-known systemic risk measures CoVaR and MES.•Finds that Rank better captures netw...
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Published in | Journal of economic behavior & organization Vol. 162; pp. 251 - 272 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Elsevier B.V
01.06.2019
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Subjects | |
Online Access | Get full text |
ISSN | 0167-2681 1879-1751 |
DOI | 10.1016/j.jebo.2018.12.021 |
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Abstract | •Proposes a method, “Rank,” to quantify network relationships between financial institutions from “too central to fail” perspective.•Uses PageRank algorithm to determine financial systemic risks.•Compares Rank with well-known systemic risk measures CoVaR and MES.•Finds that Rank better captures network structure than the other two measures.
Following the popularity of the concepts of “too big to fail” and “too connected to fail” after the global financial crisis, the concept of “too central to fail” has garnered considerable attention recently. In this study, we suggest a “too central to fail” systemic risk measure, Rank, using the PageRank algorithm. Then, adopting a centrality perspective, we compare this measure, which effectively captures network relationships among financial institutions, with other well-known systemic risk measures, conditional value at risk (CoVaR) and marginal expected shortfall (MES). First, we model a simulation that generates bilateral connections among financial institutions. Second, we use real market data representing United States financial institutions. We show that Rank can capture the network structure among financial institutions better than CoVaR and MES. Further, Rank does not have procyclical properties; therefore, it is not dependent on market conditions. This study contributes to the development of a timely measure using publicly available market data. The measure also overcomes the shortcomings of the balance sheet-based approach, which is subject to time lags, because financial institutions release balance sheets quarterly basis. We also include equity and liability-type assets, in which systemic risks mainly propagate through intricately connected liability obligations. The findings will help regulators and policy-makers understand the implications of monitoring systemic risks from a network perspective. |
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AbstractList | •Proposes a method, “Rank,” to quantify network relationships between financial institutions from “too central to fail” perspective.•Uses PageRank algorithm to determine financial systemic risks.•Compares Rank with well-known systemic risk measures CoVaR and MES.•Finds that Rank better captures network structure than the other two measures.
Following the popularity of the concepts of “too big to fail” and “too connected to fail” after the global financial crisis, the concept of “too central to fail” has garnered considerable attention recently. In this study, we suggest a “too central to fail” systemic risk measure, Rank, using the PageRank algorithm. Then, adopting a centrality perspective, we compare this measure, which effectively captures network relationships among financial institutions, with other well-known systemic risk measures, conditional value at risk (CoVaR) and marginal expected shortfall (MES). First, we model a simulation that generates bilateral connections among financial institutions. Second, we use real market data representing United States financial institutions. We show that Rank can capture the network structure among financial institutions better than CoVaR and MES. Further, Rank does not have procyclical properties; therefore, it is not dependent on market conditions. This study contributes to the development of a timely measure using publicly available market data. The measure also overcomes the shortcomings of the balance sheet-based approach, which is subject to time lags, because financial institutions release balance sheets quarterly basis. We also include equity and liability-type assets, in which systemic risks mainly propagate through intricately connected liability obligations. The findings will help regulators and policy-makers understand the implications of monitoring systemic risks from a network perspective. |
Author | Jeong, Deokjong Yun, Tae-Sub Park, Sunyoung |
Author_xml | – sequence: 1 givenname: Tae-Sub orcidid: 0000-0001-8704-1873 surname: Yun fullname: Yun, Tae-Sub email: andy2402@kaist.ac.kr organization: Department of Industrial & Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), 291 Daehak-ro, Yuseong-gu, Daejeon 34141, Republic of Korea – sequence: 2 givenname: Deokjong surname: Jeong fullname: Jeong, Deokjong email: deokjong.jeong@kaist.ac.kr organization: School of Business & Technology Management, Korea Advanced Institute of Science and Technology (KAIST), 291 Daehak-ro, Yuseong-gu, Daejeon 34141, Republic of Korea – sequence: 3 givenname: Sunyoung surname: Park fullname: Park, Sunyoung email: sunyoung.park@kcmi.re.kr organization: Korea Capital Market Institute, 143 Uisadang-daero, Yeongdeungpo-gu, Seoul 07332, Republic of Korea |
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