eprintid: 2819
rev_number: 10
eprint_status: archive
userid: 69
dir: disk0/00/00/28/19
datestamp: 2015-11-05 12:03:38
lastmod: 2018-03-08 17:01:28
status_changed: 2015-11-05 12:03:38
type: article
metadata_visibility: show
creators_name: Squartini, Tiziano
creators_name: Lelyveld, Iman van
creators_name: Garlaschelli, Diego
creators_id: tiziano.squartini@imtlucca.it
creators_id: 
creators_id: diego.garlaschelli@imtlucca.it
title: Early-warning signals of topological collapse in interbank networks
ispublished: pub
subjects: HA
subjects: QA
subjects: QC
divisions: EIC
full_text_status: public
keywords: Applied physics, Complex networks, Information theory and computation, Statistical physics
abstract: The financial crisis clearly illustrated the importance of characterizing the level of ‘systemic’ risk associated with an entire credit network, rather than with single institutions. However, the interplay between financial distress and topological changes is still poorly understood. Here we analyze the quarterly interbank exposures among Dutch banks over the period 1998–2008, ending with the crisis. After controlling for the link density, many topological properties display an abrupt change in 2008, providing a clear – but unpredictable – signature of the crisis. By contrast, if the heterogeneity of banks' connectivity is controlled for, the same properties show a gradual transition to the crisis, starting in 2005 and preceded by an even earlier period during which anomalous debt loops could have led to the underestimation of counter-party risk. These early-warning signals are undetectable if the network is reconstructed from partial bank-specific data, as routinely done. We discuss important implications for bank regulatory policies.
date: 2013
date_type: published
publication: Scientific Reports
volume: 3
publisher: Nature Publishing Group
pagerange: 3357
id_number: 10.1038/srep03357
refereed: TRUE
issn: 2045-2322
official_url: http://www.nature.com/articles/srep03357
citation:   Squartini, Tiziano and Lelyveld, Iman van and Garlaschelli, Diego  Early-warning signals of topological collapse in interbank networks.  Scientific Reports, 3.  p. 3357.  ISSN 2045-2322      (2013)  
document_url: http://eprints.imtlucca.it/2819/1/srep03357%20%281%29.pdf