Input-output-based measures of systemic importance : [draft august 2013]
- The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we show how classic input-output analysis can be applied to banking and how to derive six indicators that capture different aspects of systemic importance, using a simple numerical example for illustration. We also discuss the relationship with other approaches, most notably network centrality measures, both formally and by means of a simulated network.
Author: | Iñaki Aldasoro, Ignazio AngeloniORCiDGND |
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URN: | urn:nbn:de:hebis:30:3-313295 |
URL: | http://ssrn.com/abstract=2317299 |
Parent Title (German): | SAFE working paper series ; No. 29 |
Series (Serial Number): | SAFE working paper (29) |
Place of publication: | Frankfurt am Main |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2013 |
Year of first Publication: | 2013 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2013/09/04 |
Tag: | banks; input-output; interbank markets; networks; systemic risk, too-interconnected-to-fail |
Issue: | draft august 2013 |
Page Number: | 41 |
First Page: | 1 |
Last Page: | 37 |
HeBIS-PPN: | 348853211 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |