An empirical study of the Mexican banking system’s network and its implications for systemic risk

By Seraf'in Mart'inez-Jaramillo, Biliana Alexandrova-Kabadjova, Bernardo Bravo-Benitez, Juan Pablo Solorzano-Margain. 2012

233 citations recorded by the source corpus.

With the aim to measure and monitor systemic risk, we present some topological metrics for the interbank exposures and the payments system networks. The evolution of such networks is analyzed, we draw important conclusions from the systemic risk's perspective and propose a measure of interconnectedness. Additionally, we suggest non-topological measures to describe individual behavior of banks in both networks. The main findings of this paper are: the structures of the payments and exposures networks are different (in terms of connectivity); the topology of the exposures network changed after the collapse of Lehman Brothers, whereas the structure of the payments network does not; the proposed measure of interconnectedness can be used to determine the importance of a bank in terms of connectivity. Finally, we found that interconnectedness of a bank is not necessarily related with its assets size but it is linked to the contagion it might cause.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/eb2e7bae7863c085414d2cf2851076641a2de273

How researchers see this paper

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In Finance

1. Sebastian Poledna
2. Stefan Thurner 4
3. Seraf'in Mart'inez-Jaramillo
4. Fabio Caccioli

Citations in the corpus

• Quantification of systemic risk from overlapping portfolios in the financial system (2018, methodology): “Various aspects of the data have been studied before (Martı́nez-Jaramillo et al., 2010; López-Castañón et al., 2012; Martı́nez-Jaramillo et al., 2014; Molina-Borboa et al., 2015; Poledna et al., 2015).”
• Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “[55] Seraf́ın Mart́ınez-Jaramillo, Biliana AlexandrovaKabadjova, Bernardo Bravo-Benitez, and Juan Pablo Solórzano-Margain.”