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  • 标题:Systemic centrality and systemic communities in financial networks
  • 本地全文:下载
  • 作者:Ai Mahmudatussa’adah ; Dedi Fardiaz ; Nuri Andarwulan
  • 期刊名称:Quantitative Finance and Economics
  • 电子版ISSN:2573-0134
  • 出版年度:2018
  • 卷号:2
  • 期号:2
  • 页码:468-496
  • DOI:10.3934/QFE.2018.2.468
  • 语种:English
  • 出版社:AIMS Press
  • 摘要:A systemically important firm could be too-connected-to-fail and/or too-important-to-fail, two properties which centrality measures and community detection methods can capture respectively. This paper examines the performance of these measures in a variance decomposition global financial network. Too-connected-to-fail risk and vulnerability rankings are quite robust to the choice of centrality measure. The PageRank centrality measure, however, does not seem as suitable for assessing vulnerabilities. Two community identification methods, edge betweenness and the map equation (Infomap) were used to identify systemic communities, which in turn capture the too-important-tofail dimension of systemic risk. The first method appears more robust to di erent weighting schemes but tends to isolate too many firms. The second method exhibits the opposite characteristics. Overall, the analysis suggests that centrality measures and community identification methods complement each other for assessing systemic risk in financial networks.
  • 关键词:centrality;community detection;edge-betweenness;financial network;map equation;power law;systemic risk
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