Ranking Systemic Risks in Bank Networks

نویسندگان

  • Daning Hu
  • J. Leon Zhao
  • Zhimin Hua
چکیده

The recent global financial tsunami (2007 – present) has swiped the whole world with disastrous consequences, leading to the bankruptcy of major banks, trillions of dollars in economic rescues, and major national economic failures. Unlike previous financial crisis, one major driver of this crisis is the contagious failures of banks through a network of interbank payments and correlated bank portfolios of financial products. The risk that the failure of a single bank can cause a cascading failure of other connected banks and may potentially bring down the entire banking system (network), is defined as systemic risk. Existing bank risk management research focused on the causes and impacts of systemic risk but largely ignored the monitoring and preventive mechanism. In this study, we developed a network-based algorithm to rank systemic risk of banks and financial products in the bank network. In addition, we extended the network model of banking system developed in previous systemic risk research and adopted this model in the evaluation experiment of our proposed algorithm. This algorithm may provide an effective mechanism for stakeholders in the banking industry to monitor and reduce systemic risk and thereby prevent system-wide breakdown in bank networks.

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Bank’s Corporate Governance: Quantifying the Effects in Iranian Banking Networks

The most important tool for promoting the bank’s stability and health is the establishment of a standard corporate governance structure for managing the bank's business. Redesigning the relationships between bank management, shareholders and the rest of the bank’s stockholder, including the objectives, the risk and audit indices, and internal control of the bank, is recognized as the foundation...

متن کامل

A Study on Factors Affecting Operational Electronic Banking Risks in Iran Banking Industry (Case Study: Kermanshah Melli Bank)

Nowadays, advances in information and communication technologies, has provided an opportunity for banks to provide their electronic services to their customers in remote areas. This technological innovation by E–banking systems has brought about many benefits to customers while it has been accompanied by a number of risks including the operational ones. This risks need to be identified and mana...

متن کامل

Dynamic segmentation and ranking approach of customers and identifying their behavioral mobility using data mining techniques in Kargaran Welfare Bank

Nowadays, identifying, determining the value and segmentation of customers is essential for a bank. Dynamic classification of workers' welfare bank customers and identification of their behavioral mobility between different departments in a specific period of time using data techniques Kaveh. In this regard, transaction data of customers of this bank was considered as a statistical community. I...

متن کامل

Network-Based Modeling and Analysis of Systemic Risk in Banking Systems

In the wake of the 2008 financial tsunami, existing methods and tools for managing financial risks have been criticized for weaknesses in monitoring and alleviating risks at the systemic level. A 2009 article in Nature suggested new approaches to modeling economic meltdowns are needed to prevent future financial crises. However, existing studies have not focused on analysis of systemic risk at ...

متن کامل

Systemic Risk in Banking Systems

In the wake of the 2008 financial tsunami, existing methods and tools for managing financial risk have been criticized for weaknesses in monitoring and alleviating risks at the systemic level. A 2009 article in Nature suggested new approaches to modeling economic meltdowns are needed to prevent future financial crises. However, existing studies have not focused on analysis of systemic risk at t...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

ثبت نام

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

عنوان ژورنال:

دوره   شماره 

صفحات  -

تاریخ انتشار 2010