Does financial connectedness predict crises?

DOI10.1080/14697688.2014.968358zbMath1398.91690OpenAlexW3123402722MaRDI QIDQ4683020

Camelia Minoiu, Anamaria Berea, V. S. Subrahmanian, Chanhyun Kang

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=41174

zbMATH Keywords

banking crisessystemic riskfinancial networksearly warning systems

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Deterministic network models in operations research (90B10)

Related Items (8)

Towards a credit network based early warning indicator for crises ⋮ Diffusion centrality: a paradigm to maximize spread in social networks ⋮ Elimination of systemic risk in financial networks by means of a systemic risk transaction tax ⋮ Short term prediction of extreme returns based on the recurrence interval analysis ⋮ Can bank-specific variables predict contagion effects? ⋮ Intermediaries' substitutability and financial network resilience: a hyperstructure approach ⋮ Financial interbanking networks resilience under shocks propagation ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

Uses Software

• Stata
• roc

Cites Work

• \textit{Post-mortem} examination of the international financial network
• Economic Networks: The New Challenges
• Benchmarking state-of-the-art classification algorithms for credit scoring

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