Identificación del Riesgo Sistémico en la Banca Múltiple: un enfoque de Redes Bipartitas
Date
Subject
Systemic risk
bi-partite financial network
contagion
macro-prudential regulation
stress test
Riesgo sistémico
redes financieras bipartitas
contagio
regulación macroprudencial
prueba de estrés
bi-partite financial network
contagion
macro-prudential regulation
stress test
Riesgo sistémico
redes financieras bipartitas
contagio
regulación macroprudencial
prueba de estrés
Language:
Journal Title
Journal ISSN
Volume Title
Publisher
Instituto Tecnológico de Santo Domingo (INTEC)
El sistema financiero puede representarse como una gran red compleja en la que los bancos están interconectados entre sí a través de vínculos financieros visibles e invisibles. En este trabajo se presenta un modelo que permite analizar un sistema financiero mediante un enfoque de teoría de redes, el cual constituye una herramienta práctica de monitoreo y diagnóstico para entes reguladores al permitir identificar las vulnerabilidades que surgen a medida que los bancos se vuelven cada vez más interconectadas, un choque en una red financiera puede provocar importantes fallas en cascada en todo un sistema, en otras palabras, riesgo sistémico. Para estudiar el riesgo sistémico del sector financiero dominicano, se crea un modelo de red financiera bipartita compuesto por dos tipos de nodos, (i) bancos múltiples (o comerciales) y (ii) cartera de crédito -segmentada por sector económico-, el cual prueba la influencia de cada crédito en particular o grupo de créditos en los bancos múltiples en general, y se implementa una prueba de estrés para evaluar la vulnerabilidad de la red ante el impacto en la cartera de crédito como consecuencia de sucesos externos en los distintos sectores económicos del país.
The financial system can be represented as a large complex network in which banks are interconnected with each other through visible and invisible financial links. This paper presents a model that allows analyzing a financial system through a network theory approach, which constitutes a practical monitoring and diagnostic tool for regulatory entities by allowing the identification of vulnerabilities that arise as banks become increasingly most interconnected, a crash in a financial network can cause major failures to cascade throughout an entire system, in other words, systemic risk. To study the systemic risk of the Dominican financial sector, a bipartite financial network model was construct, that is composed of two types of nodes, (i) commercial banks and (ii) bank credit portfolio -segmented by economic sector-, which tests the influence of each credit in particular or group of credits in commercial banks in general, and a stress test was implemented to assess the vulnerability of the network before the impact on the credit portfolio as a consequence of external events in the different economic sectors of the country. This document explores the use of the interconnection of financial networks to detect financial difficulties, as an early warning system with applications to macroprudential policy.
The financial system can be represented as a large complex network in which banks are interconnected with each other through visible and invisible financial links. This paper presents a model that allows analyzing a financial system through a network theory approach, which constitutes a practical monitoring and diagnostic tool for regulatory entities by allowing the identification of vulnerabilities that arise as banks become increasingly most interconnected, a crash in a financial network can cause major failures to cascade throughout an entire system, in other words, systemic risk. To study the systemic risk of the Dominican financial sector, a bipartite financial network model was construct, that is composed of two types of nodes, (i) commercial banks and (ii) bank credit portfolio -segmented by economic sector-, which tests the influence of each credit in particular or group of credits in commercial banks in general, and a stress test was implemented to assess the vulnerability of the network before the impact on the credit portfolio as a consequence of external events in the different economic sectors of the country. This document explores the use of the interconnection of financial networks to detect financial difficulties, as an early warning system with applications to macroprudential policy.
Description
Type
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/publishedVersion
Source
Science, Economy & Business; Vol. 7 No. 2 (2023): Science, Economics and Business; 5-32
Ciencia, Economía y Negocios; Vol. 7 Núm. 2 (2023): Ciencia, Economía y Negocios; 5-32
2613-8778
2613-876X
10.22206/ceyn.2023.v7i2
Ciencia, Economía y Negocios; Vol. 7 Núm. 2 (2023): Ciencia, Economía y Negocios; 5-32
2613-8778
2613-876X
10.22206/ceyn.2023.v7i2