TY  - UNPD
A1  - Aldasoro, Iñaki
A1  - Alves, Iván
T1  - Multiplex interbank networks and systemic importance : an application to European data
T2  - SAFE working paper series ; No. 102
N2  - Research 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 paradigm. 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. We use the dataset of exposures between large European banks to illustrate the proposed measures.
T3  - SAFE working paper - 102 
KW  - interbank networks
KW  - systemic importance
KW  - multiplex networks
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/37447
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-374476
UR  - http://ssrn.com/abstract=2603732
IS  - May 2015
PB  - SAFE
CY  - Frankfurt am Main
ER  -