Template-Type: ReDIF-Paper 1.0
Author-Name: Stefan Avdjiev
Author-X-Name-First: Stefan
Author-X-Name-Last: Avdjiev
Author-Name: Paolo Giudici
Author-X-Name-First: Paolo
Author-X-Name-Last: Giudici
Author-Name: Alessandro Spelta
Author-X-Name-First: Alessandro
Author-X-Name-Last: Spelta
Title: Measuring contagion risk in international banking
Abstract: We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix from a multi-layer network, measured using banks' foreign exposures obtained from the BIS international banking statistics. Based on this adjacency matrix, we develop a new network centrality measure that can be interpreted in terms of a banking system's credit risk or funding risk.
Length: 40 pages
Creation-Date: 2019-07
File-URL: https://www.bis.org/publ/work796.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work796.htm
File-Format: text/html
Number: 796
Classification-JEL: G01, C58, C63
Keywords: international banking, contagion risk, multi-layer networks, tensor decompositions
Handle: RePEc:bis:biswps:796