Clearing Algorithms and Network Centrality

被引:0
|
作者
Siebenbrunner, Christoph [1 ]
机构
[1] Univ Oxford, Math Inst, Oxford OX2 6GG, England
关键词
Network centrality; Systemic risk; SYSTEMIC RISK; CORPORATE-DEBT;
D O I
10.1007/978-3-030-05414-4_40
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results which showed that Katz-type centrality measures are closely related to contagiousness. It also allows assessing the assumptions that one is making when using such centrality measures as systemic risk indicators. I conclude that these assumptions should be considered too strong and that, from a theoretical perspective, clearing models should be given preference over centrality measures in systemic risk analyses.
引用
收藏
页码:499 / 507
页数:9
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