Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
| Autor: | Domenico Di Gangi, Fabrizio Lillo, Davide Pirino |
|---|---|
| Přispěvatelé: | Di Gangi, Domenico, Lillo, Fabrizio, Pirino, Davide |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
Economics and Econometric Control and Optimization Financial network Financial networks Systemic risk Maximum entropy Fire sales Liquidity Asset (computer security) FOS: Economics and business Spillover effect 0502 economics and business Economics Econometrics 050207 economics Capitalization Vulnerability (computing) Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie Actuarial science 050208 finance Principle of maximum entropy Applied Mathematics Financial market 05 social sciences Investment (macroeconomics) Market liquidity Cross entropy Risk Management (q-fin.RM) Fire sale Portfolio Quantitative Finance - Risk Management |
| Zdroj: | Journal of Economic Dynamics and Control |
| Popis: | Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank's systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available. 36 pages, 6 figures, Accepted on Journal of Economic Dynamics and Control |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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