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DebtRank a centrality measure for financial systems and beyond

Caldarelli, Guido and Battiston, Stefano and Puliga, Michelangelo and Kaushik, Rahul and Tasca, Paolo DebtRank a centrality measure for financial systems and beyond. In: APS March Meeting 2013 (Unpublished) (2013)

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Use of network theory made possible to measure quantitatively many features of social and technological systems. In this spirit, inspired by traditional measures of centrality we introduce DebtRank a novel measure of systemic impact. We that we intend the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. As an application, we analyse a new and unique dataset on the USD 1.2 trillion FED emergency loans program to global financial institutions during 2008--2010. We find that a group of 22 institutions, which received most of the funds, form a strongly connected graph where each of the nodes becomes systemically important at the peak of the crisis. Moreover, a systemic default could have been triggered even by small dispersed shocks. Other application to different systems are also presented.

Item Type: Conference or Workshop Item (Paper)
Additional Information: Session G28: Statistical Mechanics of Social Systems
Subjects: H Social Sciences > HB Economic Theory
Q Science > QC Physics
Research Area: Economics and Institutional Change
Depositing User: Ms T. Iannizzi
Date Deposited: 08 Jan 2013 11:21
Last Modified: 07 Jul 2014 10:28
URI: http://eprints.imtlucca.it/id/eprint/1459

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