Key Borrowers Detected by the Intensities of Their Short-Range Interactions

Key Borrowers Detected by the Intensities of Their Short-Range Interactions
Fuad Aleskerov, Irina Andrievskaya ( ВШЭ)

Abstract. Theissue of systemic importance has received particular attention since the recent financial crisis when it came to the fore that an individual financial institution can disturb the whole financial system. Interconnectedness is considered as one of the key drivers of systemic importance. Several measures have been proposed in the literature in order to estimate the interconnectedness of financial institutions and systems. However, they do not fully take into consideration an important dimension of this characteristic: intensities of agents’ interactions. This paper proposes a novel method that solves this issue. Our approach is based on the power index and centrality analysis and is employed to find a key borrower in a loan market. To illustrate the feasibility of our methodology we apply it at the European Union level and find key countries-borrowers.

Keywords: power index, key borrower, systemic importance, interconnectedness, centrality.

Место проведения: Шаболовка, 26, ауд. 3211 (Зал Ученого совета)

Время проведения: 16:30-17:45

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