DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk Stefano Battiston1 , Michelangelo Puliga1 , Rahul Kaushik1 , Paolo Tasca1 & Guido Caldarelli2,3,4 1 Chair of Systems Design, ETH Zurich, Weinbergstrasse 56/58, 8092, Zurich,...
More
DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk Stefano Battiston1 , Michelangelo Puliga1 , Rahul Kaushik1 , Paolo Tasca1 & Guido Caldarelli2,3,4 1 Chair of Systems Design, ETH Zurich, Weinbergstrasse 56/58, 8092, Zurich, Switzerland, 2 IMT Piazza San Ponziano 6, Lucca, Italy, 3 Institute of Complex Systems CNR UdR Sapienza, Dip. Fisica, Piazzale Moro 2 00185, Rome, 4 LIMS 35a South St, Mayfair London W1K 2XF, UK. Systemic risk, here meant as the risk of default of a large portion of the financial system, depends on the network of financial exposures among institutions. However, there is no widely accepted methodology to determine the systemically important nodes in a network. To fill this gap, we introduce, DebtRank, a novel measure of systemic impact inspired by feedback-centrality. As an application, we analyse a new and unique dataset on the USD 1.2 trillion FED emergency loans program to global financial institutions during 2008– 2010. We find that a g
Less
