Cuba, W;
Rodriguez-Martinez, A;
Chavez, DA;
Caccioli, F;
Martinez-Jaramillo, S;
(2021)
A network characterization of the interbank exposures in Peru.
Latin American Journal of Central Banking
, 2
(3)
, Article 100035. 10.1016/j.latcb.2021.100035.
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Abstract
After the Global Financial Crisis (GFC), systemic risk measurement became crucial for policy makers as well as for academics. We have witnessed an important increase in the number of methodologies proposed. Among such proposals, DebtRank arose as perhaps one of the most relevant in this context, as it resorts to network modeling and captures the all-important aspect of interconnectedness in the financial system. Additionally, within the network modeling approach, there is the multilayer approach, which provides additional insights on the decomposition of systemic risk. In this paper, we apply a multilayer network analysis to study systemic risk in the Peruvian banking system by utilizing DebtRank centrality. The main contributions of this work are as follows: i) It fully characterizes the multilayer exposure network of the Peruvian banking system, and ii) it obtains the systemic risk profile of the banking system according to different types of exposures.
| Type: | Article |
|---|---|
| Title: | A network characterization of the interbank exposures in Peru |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.latcb.2021.100035 |
| Publisher version: | https://doi.org/10.1016/j.latcb.2021.100035 |
| Language: | English |
| Additional information: | © 2021 The Authors. Published by Elsevier B.V. on behalf of Center for Latin American Monetary Studies. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
| Keywords: | Financial networks, Systemic risk, Multiplex networks, Risk propagation |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10174770 |
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