期刊
SCIENTIFIC REPORTS
卷 2, 期 -, 页码 -出版社
NATURE PUBLISHING GROUP
DOI: 10.1038/srep00541
关键词
-
资金
- Swiss National Science Foundation Grant [CR12I1-127000]
- European Commission FET Open Project FOC'' [255987]
- Italian PNR project CRISIS-Lab
- U.S. Department of the Defense, Defense Threat Reduction Agency [HDTRA1-11-1-0048]
- Swiss National Science Foundation (SNF) [CR12I1_127000] Funding Source: Swiss National Science Foundation (SNF)
Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. However, there is no widely accepted methodology to determine the systemically important nodes in a network. To fill this gap, we introduce, DebtRank, a novel measure of systemic impact inspired by feedback-centrality. As an application, we analyse a new and unique dataset on the USD 1.2 trillion FED emergency loans program to global financial institutions during 2008-2010. We find that a group of 22 institutions, which received most of the funds, form a strongly connected graph where each of the nodes becomes systemically important at the peak of the crisis. Moreover, a systemic default could have been triggered even by small dispersed shocks. The results suggest that the debate on too-big-to-fail institutions should include the even more serious issue of too-central-to-fail.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据