Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/52833
Título: | Balance sheet analysis of credit and debt networks |
Autor(es): | Garrido, Paulo Campos, Pedro Dias, André |
Palavras-chave: | Credit and debt networks balance sheet insolvency insolvency propagation banking networks systemic risk financial crisis Julia programming |
Data: | Nov-2015 |
Editora: | World Scientific Publishing Company |
Revista: | Advances in Complex Systems |
Resumo(s): | In this paper, we present a computing procedure to analyze a network of credit and debt among agents (nodes) from a standpoint of balance sheet dependencies. The aim is to develop a method to assess thoroughly the sensitivity of the network to potential individual insolvencies. For this purpose, given a state of the network, the insolvency of an agent is assumed and the cascade of provoked insolvencies is simulated. Exploring the matrix definition of the network, this is made systematically for all agents. Therefore, in only one run of the procedure, all the possible trajectories of insolvencies, each beginning in a different agent, are calculated. This allows spotting at a glance which agents are "systemically riskier". Determination of adequate capital levels can be made on a case basis by running the procedure repeatedly. This work contributes with two new aspects to the existing literature. First, given a known situation of a credit and debt network, a computing procedure is presented that allows to assess the network sensitivity to the exogenous insolvency of any of its nodes. Second, continued monitoring of a credit and debt network is computationally feasible. This "proof of concept" software can be extended into a tool useful for research and regulation, if the relevant information is made available. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/52833 |
DOI: | 10.1142/S0219525915500253 |
ISSN: | 0219-5259 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CAlg - Artigos em revistas internacionais / Papers in international journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
Analysis Credit Networks v5_AAM_wref.pdf | 1,03 MB | Adobe PDF | Ver/Abrir |