eprintid: 1459
rev_number: 11
eprint_status: archive
userid: 6
dir: disk0/00/00/14/59
datestamp: 2013-01-08 11:21:19
lastmod: 2014-07-07 10:28:37
status_changed: 2013-01-08 11:21:19
type: conference_item
metadata_visibility: show
creators_name: Caldarelli, Guido
creators_name: Battiston, Stefano 
creators_name: Puliga, Michelangelo
creators_name: Kaushik, Rahul
creators_name: Tasca, Paolo
creators_id: guido.caldarelli@imtlucca.it
creators_id: 
creators_id: michelangelo.puliga@imtlucca.it
creators_id: 
creators_id: 
title: DebtRank a centrality measure for financial systems and beyond
ispublished: unpub
subjects: HB
subjects: QC
divisions: EIC
full_text_status: none
pres_type: paper
note: Session G28: Statistical Mechanics of Social Systems
abstract: 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.
date: 2013
date_type: submitted
event_title: APS March Meeting  2013
event_type: other
refereed: TRUE
official_url: http://meetings.aps.org/Meeting/MAR13/Event/184711
related_url_url: http://www.aps.org/meetings/march/index.cfm
related_url_type: org
citation:   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  In: APS March Meeting 2013       (Unpublished)   (2013)