Skip to main content

Lund University Publications

LUND UNIVERSITY LIBRARIES

Systemic Risk and Centrality Revisited: The Role of Interactions

Asgharian, Hossein LU ; Krygier, Dominika LU and Wilhelmsson, Anders LU (2022) In European Financial Management 28(5). p.1199-1226
Abstract
We analyze to what extent the contribution of banks to systemic risk depends on their centrality in financial networks. We find that centrality is an important determinant of systemic risk, but not primarily by its direct effect. Its main influence is to make other risk measures, such as probability of default, more important for highly connected banks. Neglecting the indirect effect of centrality may severely underestimate or overestimate the systemic risk of banks. We also show that, even though size and centrality are related, the inclusion of centrality provides valuable information when assessing the systemic importance of banks.
Please use this url to cite or link to this publication:
author
; and
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
European Financial Management
volume
28
issue
5
pages
1199 - 1226
publisher
Wiley-Blackwell
external identifiers
  • scopus:85117768944
ISSN
1468-036X
DOI
10.1111/eufm.12340
language
English
LU publication?
yes
id
121b05e2-a1d2-47a4-9cb7-5be8b87df6b7
date added to LUP
2021-10-09 14:28:07
date last changed
2023-01-16 10:14:46
@article{121b05e2-a1d2-47a4-9cb7-5be8b87df6b7,
  abstract     = {{We analyze to what extent the contribution of banks to systemic risk depends on their centrality in financial networks. We find that centrality is an important determinant of systemic risk, but not primarily by its direct effect. Its main influence is to make other risk measures, such as probability of default, more important for highly connected banks. Neglecting the indirect effect of centrality may severely underestimate or overestimate the systemic risk of banks. We also show that, even though size and centrality are related, the inclusion of centrality provides valuable information when assessing the systemic importance of banks.}},
  author       = {{Asgharian, Hossein and Krygier, Dominika and Wilhelmsson, Anders}},
  issn         = {{1468-036X}},
  language     = {{eng}},
  number       = {{5}},
  pages        = {{1199--1226}},
  publisher    = {{Wiley-Blackwell}},
  series       = {{European Financial Management}},
  title        = {{Systemic Risk and Centrality Revisited: The Role of Interactions}},
  url          = {{http://dx.doi.org/10.1111/eufm.12340}},
  doi          = {{10.1111/eufm.12340}},
  volume       = {{28}},
  year         = {{2022}},
}