D85 - Network Formation and Analysis: Theory

• A Microfounded Design of Interconnectedness-Based Macroprudential Policy

  Staff Working Paper 2016-6 Jose Fique

  To address the challenges posed by global systemically important banks (G-SIBs), the Basel Committee on Banking Supervision recommended an “additional loss absorbency requirement” for these institutions. Along these lines, I develop a microfounded design of capital surcharges that target the interconnectedness component of systemic risk.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial system regulation and policies JEL Code(s): D, D8, D82, D85, G, G2, G21, G28

• Filling in the Blanks: Network Structure and Interbank Contagion

  Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter

  The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial Institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14

• Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

  Staff Working Paper 2010-13 James Chapman, Nellie Zhang

  In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20

• Network Analysis and Canada's Large Value Transfer System

  Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts

  Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): D, D8, D85, G, G1, G10