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 |
|---|---|
| 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 |
