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dc.creatorAldasoro, Iñaki
dc.creatorAlves, Iván
dc.date.accessioned2021-09-28T09:24:15Z
dc.date.available2021-09-28T09:24:15Z
dc.date.issued2015-05-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2203
dc.description.abstractResearch on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument type to characterise the main features of the multiplex structure of the network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity between layers, stemming both from standard similarity analyses as well as a core-periphery analyses of the different layers. We propose measures of systemic importance that fit the case in which banks are connected through an arbitrary number of layers (be it by instrument, maturity or a combination of both). Such measures allow for a decomposition of the global systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking regulators and supervisors in identifying tailored policy instruments. We use the dataset of exposures between large European banks to illustrate that both the methodology and the specific level of network aggregation matter in the determination of interconnectedness and thus in the policy making process.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectMacro Finance
dc.titleMultiplex interbank networks and systemic importance: An application to European data
dc.typeWorking Paper
dc.source.filename102_SSRN-id2603732
dc.identifier.safeno102
dc.subject.keywordsinterbank networks
dc.subject.keywordssystemic importance
dc.subject.keywordsmultiplex networks
dc.subject.jelG21
dc.subject.jelD85
dc.subject.jelC67
dc.subject.topic1policy
dc.subject.topic1property
dc.subject.topic1unity
dc.subject.topic2microPrudential
dc.subject.topic2stability
dc.subject.topic2adopt
dc.subject.topic3core
dc.subject.topic3table
dc.subject.topic3weight
dc.subject.topic1nameStability and Regulation
dc.subject.topic2nameCorporate Governance
dc.subject.topic3nameSystematic Risk
dc.identifier.doi10.2139/ssrn.2603732


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