www.systemic-risk.org

www.systemic-risk.org

Dynamic macro prudential stress testing using network science Dror Y. Kenett 1,2 Department of Physics, Boston University 2

U.S. Department of the Treasury, Office of Financial Research 1 15 December 2014 Team Prof. Sary Levy-Carciente

Prof. Shlomo Havlin Prof. H. Eugene Stanley Adam Avakian What is the challenge? Design a framework of prudential financial

supervision in such a way of considering both the actors of the system (financial institutions) and the vulnerabilities that emerge from their connections and interdependence. Uncover the systemic structure of a banking system, analyze its sensitivity to external shocks and to evaluate the presence of contagious underlying features of the system.

Approach Use network science to develop a bi-partite network model to dynamically stress test a banking system, uncover hidden global systemic risks, and introduce intervention strategies Bipartite Network Model

X. Huang, I. Vodenska, S. Havlin, H.E. Staenly (2013), Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Summary of model parameters Data Monthly Venezuelan bank balance sheet data for the period 2000 - 2013

Network representation Surviving banks, shock level and contagion effect Surviving banks, shock level and contagion effect

as a function of time for different asset classes as a function of time for different asset classes

Asset size, diversification urviving banks versus solvency Intervention strategies

Protect one bank from failing, and compare the number of surviving banks at the end of a failure cascade Protect a pair of banks

Cost of bailout, change inapt value, time effects Summary Dynamic bi-partite network model for banks and assets (DBNM-BA)

Critical parameters: Comparison of macro variables (

) to asset ( , HHI) and bank (solvency) micro variables Future work Intervention strategies

Multi-market model Bankruptcy rules

Thank You. Questions? Paper: http://ssrn.com/abstract=2482742 Email: [email protected]

Recently Viewed Presentations

  • HFH_Poster_temp_3x4 - henryfordmedicaleducation.com

    HFH_Poster_temp_3x4 - henryfordmedicaleducation.com

    Author Names,Department or Division Here Henry Ford Health System, Detroit, Michigan Laboratory Values and Printing Tips Abstract Punctuation and Bulleting Medical Education Research Forum Poster size is already set, use this template for your case report. Delete this yellow box...
  • Ch. 6 Aquatic Biodiversity and Life Zones

    Ch. 6 Aquatic Biodiversity and Life Zones

    Marine LIFE ZONES. ESTUARIES. COASTAL MARSHES (WETLANDS) MANGROVE SWAMPS (FORESTS) CORAL REEFS. COASTLINES. OCEANS. Estuary and Coastal Wetlands. Estuaries are rivers that meet the sea where seawater mixes with freshwater (brackish water). Coastal wetlands .
  • Biosecurity: Overview - USDA

    Biosecurity: Overview - USDA

    Biosecurity Biosecure Areas. Uninfected and Infected. Adapted from the FAD PReP/NAHEMS Guidelines: Biosecurity (2016). Biosecurity is a cornerstone of livestock production systems (including poultry production) to maintain food safety and security, protect the environment, and facilitate continuity of business by...
  • Acute Lymphoblastic Leukemia Posters and Abstracts from San

    Acute Lymphoblastic Leukemia Posters and Abstracts from San

    BLAST Study. Design. 1. and Follow-Up. 2. Open-label, single-arm phase 2 study. Pts (N=116, age ≥18 years with BCP-ALL in first or later hematologic CR and with persistent or recurrent MRD≥10-3 after a minimum of 3 cycles of intensive chemotherapy)...
  • Takeoff And Landing Performance Assessment (TALPA) 101 Presented

    Takeoff And Landing Performance Assessment (TALPA) 101 Presented

    Southwest. United. UPS US Airways. BackgroundTALPA ARC Participants. Other Organizations. Air Transport Association. Airline Pilots Association Airports Council International. Allied Pilots Association. National Air Carrier Association. National Business Aviation Association.
  • XI Theories and Schools of Modern Linguistics

    XI Theories and Schools of Modern Linguistics

    Saussure's fundamental perception is of revolutionary significance, and it is he that pushed linguistics into a brand new stage and all linguistics in the twentieth century are Saussurean linguistics. The Prague School Mathesius (1882-1946) A special style of synchronic linguistics...
  • Macbeth Act II - Woodland Hills School District

    Macbeth Act II - Woodland Hills School District

    Macbeth Act II and III. English 12. Warm Up. Motif-arecurring subject, theme, idea, etc., especially in a literary,artistic,ormusicalwork. Name some motifs we have seen in Macbeth. Act I Recap. Witches planning evil involving Macbeth.
  • Lowest Common Multiple - NCETM

    Lowest Common Multiple - NCETM

    Least Common Multiple The least common multiple of two (or more) numbers is the smallest number that can be divided by both (or all) the numbers. Example the LCM of 4 and 7 is 4x7 = 28 Finding the LCM...