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原文連結
論文資訊
- 類型：已發表論文
- 日期：2015-08-13
摘要
The inability to see and quantify systemic financial risk comes at an immense 社會 cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through 網絡s of different types of financial contracts, such as credit, derivatives, foreign exchange, and securities. The interplay of the various exposure 網絡s can be represented as layers in a financial multi-layer 網絡. In this work we quantify the daily contributions to systemic risk from four layers of the Mexican banking system from 2007 to 2013. We show that focusing on a single layer underestimates the total systemic risk by up to 90%. By assigning systemic risk levels to individual banks we study the systemic risk profile of the Mexican banking system on al
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