eprintid: 1331
rev_number: 13
eprint_status: archive
userid: 6
dir: disk0/00/00/13/31
datestamp: 2012-08-07 07:49:34
lastmod: 2016-04-07 08:28:50
status_changed: 2012-08-07 07:49:34
type: article
metadata_visibility: show
creators_name: Battiston, Stefano
creators_name: Puliga, Michelangelo
creators_name: Kaushik, Rahul
creators_name: Tasca, Paolo
creators_name: Caldarelli, Guido
creators_id: 
creators_id: michelangelo.puliga@imtlucca.it
creators_id: 
creators_id: 
creators_id: guido.caldarelli@imtlucca.it
title: DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk
ispublished: pub
subjects: HA
subjects: QC
divisions: EIC
full_text_status: public
keywords: Applied physics; Modelling and theory; Statistical physics, thermodynamics and nonlinear dynamics; Theoretical physics
abstract: Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. However, there is no widely accepted methodology to determine the systemically important nodes in a network. To fill this gap, we introduce, DebtRank, a novel measure of systemic impact inspired by feedback-centrality. 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. The results suggest that the debate on too-big-to-fail institutions should include the even more serious issue of too-central-to-fail.
date: 2012-08
date_type: published
publication: (Nature) Scientific Reports
volume: 2
number: 541
publisher: Nature Publishing Group
pagerange: 1-6
id_number: 10.1038/srep00541
refereed: TRUE
issn: 2045-2322
official_url: http://www.nature.com/srep/2012/120802/srep00541/full/srep00541.html
projects: EC Grant FET Open Project ‘‘FOC’’ 255987
citation:   Battiston, Stefano and Puliga, Michelangelo and Kaushik, Rahul and Tasca, Paolo and Caldarelli, Guido  DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk.  (Nature) Scientific Reports, 2 (541).  pp. 1-6.  ISSN 2045-2322      (2012)  
document_url: http://eprints.imtlucca.it/1331/1/srep00541.pdf