?url_ver=Z39.88-2004&rft_id=arXiv%3A1603.05914&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Feprints.imtlucca.it%2F3551%2F&rft.title=Statistically+validated+network+of+portfolio+overlaps+and+systemic+risk&rft.creator=Gualdi%2C+Stanislao&rft.creator=Cimini%2C+Giulio&rft.creator=Primicerio%2C+Kevin&rft.creator=Di+Clemente%2C+Riccardo&rft.creator=Challet%2C+Damien&rft.subject=QC+Physics&rft.description=Common+asset+holding+by+financial+institutions%2C+namely+portfolio+overlap%2C+is+nowadays+regarded+as+an+important+channel+for+financial+contagion+with+the+potential+to+trigger+fire+sales+and+thus+severe+losses+at+the+systemic+level.+In+this+paper+we+propose+a+method+to+assess+the+statistical+significance+of+the+overlap+between+pairs+of+heterogeneously+diversified+portfolios%2C+which+then+allows+us+to+build+a+validated+network+of+financial+institutions+where+links+indicate+potential+contagion+channels+due+to+realized+portfolio+overlaps.+The+method+is+implemented+on+a+historical+database+of+institutional+holdings+ranging+from+1999+to+the+end+of+2013%2C+but+can+be+in+general+applied+to+any+bipartite+network+where+the+presence+of+similar+sets+of+neighbors+is+of+interest.+We+find+that+the+proportion+of+validated+network+links+(i.e.%2C+of+statistically+significant+overlaps)+increased+steadily+before+the+2007-2008+global+financial+crisis+and+reached+a+maximum+when+the+crisis+occurred.+We+argue+that+the+nature+of+this+measure+implies+that+systemic+risk+from+fire+sales+liquidation+was+maximal+at+that+time.+After+a+sharp+drop+in+2008%2C+systemic+risk+resumed+its+growth+in+2009%2C+with+a+notable+acceleration+in+2013%2C+reaching+levels+not+seen+since+2007.+We+finally+show+that+market+trends+tend+to+be+amplified+in+the+portfolios+identified+by+the+algorithm%2C+such+that+it+is+possible+to+have+an+informative+signal+about+financial+institutions+that+are+about+to+suffer+(enjoy)+the+most+significant+losses+(gains).&rft.publisher=arXiv&rft.date=2016&rft.type=Working+Paper&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.rights=cc_by_nc&rft.identifier=http%3A%2F%2Feprints.imtlucca.it%2F3551%2F1%2F1603.05914v2.pdf&rft.identifier=++Gualdi%2C+Stanislao+and+Cimini%2C+Giulio+and+Primicerio%2C+Kevin+and+Di+Clemente%2C+Riccardo+and+Challet%2C+Damien++Statistically+validated+network+of+portfolio+overlaps+and+systemic+risk.++Working+Paper+++arXiv+++++++(Submitted)+++&rft.relation=https%3A%2F%2Farxiv.org%2Fabs%2F1603.05914&rft.relation=arXiv%3A1603.05914