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Systemic Risk Evaluation of Banks and financial institutions applying Markov clustering method and centrality measures of risk
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Majid Hatef Vahid1   , Abbas Saleh Ardestani 2 |
1- PhD student in Financial Engineering, Department of Economic Sciences, School of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
2- Faculty member of the Department of Economic Sciences, School of Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran (Corresponding Author) , As.Ardestany.mng@iauctb.ac.ir |
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Abstract: (3793 Views) |
Systemic risk is the risk beared by an economic system because of a special organization. This means that a liquidity problem or a financial crisis in one company could trigger a chain of reactions that puts the whole market into trouble. This kind of risk was underestimated until 2008 financial crisis. Now federal regulations exist for controlling this risk of financial institutions. Among diversified methods of systemic risk evaluation, centrality measures have the most accuracy. In this paper, we apply a combined method of systemic risk evaluation using semi-central centrality and Markov clustering method. Results show outperformance of proposed method over classic criterion CoVaR.
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| Keywords: Systemic risk, centrality, clustering, Markov, simulation, CoVaR |
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Full-Text [PDF 851 kb]
(1373 Downloads)
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Article type: Research |
Subject:
Special
Received: 2019/08/3 | Accepted: 2020/03/9 | Published: 2020/03/19
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