Jean-Baptiste Hasse

finance seminar
à distance

Jean-Baptiste Hasse

insti7
Systemic risk : A network approach
Événement annulé
Date(s)
Mardi 26 janvier 2021| 14:30
Contact(s)

Eric Girardin : eric.girardin[at]univ-amu.fr
Christelle Lecourt : christelle.lecourt[at]univ-amu.fr

Résumé

We propose a new measure of systemic risk based on interconnectedness, defined as the level of direct and indirect links between financial institutions in a correlation-based network. Deriving interconnectedness in terms of risk, we empirically show that within a financial network, indirect links are strengthened during systemic events. The relevance of our measure is illustrated at both local and global levels. Our framework o˙ers policymakers a useful toolbox for exploring the real-time topology of the complex structure of dependencies in financial systems and for measuring the consequences of regulatory decisions.

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Séminaire initialement prévu le mardi 19 janvier.