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SUMMARY:Motifs in International Banking Networks - van Lelyveld\, I (De Ne
 derlandsche Bank)
DTSTART:20140827T100000Z
DTEND:20140827T103000Z
UID:TALK53896@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:The financial crisis clearly illustrated the importance of cha
 racterizing the level of 'systemic' risk associated with an entire credit 
 network\, rather than with single banks or banking systems. However\, the 
 interplay between financial distress and topological changes is still poor
 ly understood. We build on earlier work where we analyzed interbank exposu
 res among Dutch banks over the period 1998-2008\, ending with the crisis. 
 After controlling for the link density\, we found that many topological pr
 operties display an abrupt change in 2008\, providing a clear - but unpred
 ictable - signature of the crisis. By contrast\, if the heterogeneity of b
 anks' connectivity is controlled for\, the same properties show a gradual 
 transition to the crisis\, starting in 2005 and preceded by an even earlie
 r period during which anomalous debt loops could have led to the underesti
 mation of counter-party risk. These early-warning signals are undetectable
  if the network is reconstructed from partial bank-specific data\, as rout
 inely done. We now apply this methodology to cross border interbank linkag
 es using confidential data collected by the Bank for International Settlem
 ents. Our aim is to 1) confirm our earlier results and 2) extend the metho
 dology to handle weighted networks.\n
LOCATION:Seminar Room 1\, Newton Institute
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