Systemic stress test model for shared portfolio networks

Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial...

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Autores principales:	Irena Vodenska, Nima Dehmamy, Alexander P. Becker, Sergey V. Buldyrev, Shlomo Havlin
Formato:	article
Lenguaje:	EN
Publicado:	Nature Portfolio 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/e34544dd6712478ab8ba1a2efab23343
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spelling	oai:doaj.org-article:e34544dd6712478ab8ba1a2efab233432021-12-02T14:26:47ZSystemic stress test model for shared portfolio networks10.1038/s41598-021-82904-y2045-2322https://doaj.org/article/e34544dd6712478ab8ba1a2efab233432021-02-01T00:00:00Zhttps://doi.org/10.1038/s41598-021-82904-yhttps://doaj.org/toc/2045-2322Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system. We apply the model to the European sovereign debt crisis and observe that the results closely match real-world events (e.g., the high risk of Greek sovereign bonds and the distress of Greek banks). Our model could become complementary to existing stress tests, incorporating the contribution of interconnectivity of the banks to systemic risk in time-dependent networks. Additionally, we propose an institutional systemic importance ranking, BankRank, for the financial institutions analyzed in this study to assess the contribution of individual banks to the overall systemic risk.Irena VodenskaNima DehmamyAlexander P. BeckerSergey V. BuldyrevShlomo HavlinNature PortfolioarticleMedicineRScienceQENScientific Reports, Vol 11, Iss 1, Pp 1-12 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Irena Vodenska Nima Dehmamy Alexander P. Becker Sergey V. Buldyrev Shlomo Havlin Systemic stress test model for shared portfolio networks
description	Abstract We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system. We apply the model to the European sovereign debt crisis and observe that the results closely match real-world events (e.g., the high risk of Greek sovereign bonds and the distress of Greek banks). Our model could become complementary to existing stress tests, incorporating the contribution of interconnectivity of the banks to systemic risk in time-dependent networks. Additionally, we propose an institutional systemic importance ranking, BankRank, for the financial institutions analyzed in this study to assess the contribution of individual banks to the overall systemic risk.
format	article
author	Irena Vodenska Nima Dehmamy Alexander P. Becker Sergey V. Buldyrev Shlomo Havlin
author_facet	Irena Vodenska Nima Dehmamy Alexander P. Becker Sergey V. Buldyrev Shlomo Havlin
author_sort	Irena Vodenska
title	Systemic stress test model for shared portfolio networks
title_short	Systemic stress test model for shared portfolio networks
title_full	Systemic stress test model for shared portfolio networks
title_fullStr	Systemic stress test model for shared portfolio networks
title_full_unstemmed	Systemic stress test model for shared portfolio networks
title_sort	systemic stress test model for shared portfolio networks
publisher	Nature Portfolio
publishDate	2021
url	https://doaj.org/article/e34544dd6712478ab8ba1a2efab23343
work_keys_str_mv	AT irenavodenska systemicstresstestmodelforsharedportfolionetworks AT nimadehmamy systemicstresstestmodelforsharedportfolionetworks AT alexanderpbecker systemicstresstestmodelforsharedportfolionetworks AT sergeyvbuldyrev systemicstresstestmodelforsharedportfolionetworks AT shlomohavlin systemicstresstestmodelforsharedportfolionetworks
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Systemic stress test model for shared portfolio networks

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