Balance sheet analysis of credit and debt networks
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/1822/52833 |
Resumo: | In this paper, we present a computing procedure to analyze a network of credit and debt among agents (nodes) from a standpoint of balance sheet dependencies. The aim is to develop a method to assess thoroughly the sensitivity of the network to potential individual insolvencies. For this purpose, given a state of the network, the insolvency of an agent is assumed and the cascade of provoked insolvencies is simulated. Exploring the matrix definition of the network, this is made systematically for all agents. Therefore, in only one run of the procedure, all the possible trajectories of insolvencies, each beginning in a different agent, are calculated. This allows spotting at a glance which agents are "systemically riskier". Determination of adequate capital levels can be made on a case basis by running the procedure repeatedly. This work contributes with two new aspects to the existing literature. First, given a known situation of a credit and debt network, a computing procedure is presented that allows to assess the network sensitivity to the exogenous insolvency of any of its nodes. Second, continued monitoring of a credit and debt network is computationally feasible. This "proof of concept" software can be extended into a tool useful for research and regulation, if the relevant information is made available. |
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Balance sheet analysis of credit and debt networksCredit and debt networksbalance sheet insolvencyinsolvency propagationbanking networkssystemic riskfinancial crisisJulia programmingScience & TechnologyIn this paper, we present a computing procedure to analyze a network of credit and debt among agents (nodes) from a standpoint of balance sheet dependencies. The aim is to develop a method to assess thoroughly the sensitivity of the network to potential individual insolvencies. For this purpose, given a state of the network, the insolvency of an agent is assumed and the cascade of provoked insolvencies is simulated. Exploring the matrix definition of the network, this is made systematically for all agents. Therefore, in only one run of the procedure, all the possible trajectories of insolvencies, each beginning in a different agent, are calculated. This allows spotting at a glance which agents are "systemically riskier". Determination of adequate capital levels can be made on a case basis by running the procedure repeatedly. This work contributes with two new aspects to the existing literature. First, given a known situation of a credit and debt network, a computing procedure is presented that allows to assess the network sensitivity to the exogenous insolvency of any of its nodes. Second, continued monitoring of a credit and debt network is computationally feasible. This "proof of concept" software can be extended into a tool useful for research and regulation, if the relevant information is made available.The work of Paulo Garrido was financially supported by FCT, Fundacao Portuguesa para a Ciencia e a Tecnologia, through the Program PEst, Strategic Program of the Algoritmi Research Center, Project FCOMP-01-0124-FEDER-022674. The work of Pedro Campos was financially supported by Sibila and Smartgrids research projects (NORTE-07-0124-FEDER-000056/59), financed by North Portugal Regional Operational Programme (ON.2 O Novo Norte), under the National Strategic Reference Framework (NSRF), through the Development Fund (ERDF), and by national funds, through Fundacao para a Ciencia e a Tecnologia (FCT).info:eu-repo/semantics/publishedVersionWorld Scientific Publishing CompanyUniversidade do MinhoGarrido, PauloCampos, PedroDias, André2015-112015-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/52833eng0219-525910.1142/S0219525915500253info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:15:48Zoai:repositorium.sdum.uminho.pt:1822/52833Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:08:17.360828Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Balance sheet analysis of credit and debt networks |
title |
Balance sheet analysis of credit and debt networks |
spellingShingle |
Balance sheet analysis of credit and debt networks Garrido, Paulo Credit and debt networks balance sheet insolvency insolvency propagation banking networks systemic risk financial crisis Julia programming Science & Technology |
title_short |
Balance sheet analysis of credit and debt networks |
title_full |
Balance sheet analysis of credit and debt networks |
title_fullStr |
Balance sheet analysis of credit and debt networks |
title_full_unstemmed |
Balance sheet analysis of credit and debt networks |
title_sort |
Balance sheet analysis of credit and debt networks |
author |
Garrido, Paulo |
author_facet |
Garrido, Paulo Campos, Pedro Dias, André |
author_role |
author |
author2 |
Campos, Pedro Dias, André |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Universidade do Minho |
dc.contributor.author.fl_str_mv |
Garrido, Paulo Campos, Pedro Dias, André |
dc.subject.por.fl_str_mv |
Credit and debt networks balance sheet insolvency insolvency propagation banking networks systemic risk financial crisis Julia programming Science & Technology |
topic |
Credit and debt networks balance sheet insolvency insolvency propagation banking networks systemic risk financial crisis Julia programming Science & Technology |
description |
In this paper, we present a computing procedure to analyze a network of credit and debt among agents (nodes) from a standpoint of balance sheet dependencies. The aim is to develop a method to assess thoroughly the sensitivity of the network to potential individual insolvencies. For this purpose, given a state of the network, the insolvency of an agent is assumed and the cascade of provoked insolvencies is simulated. Exploring the matrix definition of the network, this is made systematically for all agents. Therefore, in only one run of the procedure, all the possible trajectories of insolvencies, each beginning in a different agent, are calculated. This allows spotting at a glance which agents are "systemically riskier". Determination of adequate capital levels can be made on a case basis by running the procedure repeatedly. This work contributes with two new aspects to the existing literature. First, given a known situation of a credit and debt network, a computing procedure is presented that allows to assess the network sensitivity to the exogenous insolvency of any of its nodes. Second, continued monitoring of a credit and debt network is computationally feasible. This "proof of concept" software can be extended into a tool useful for research and regulation, if the relevant information is made available. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015-11 2015-11-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/1822/52833 |
url |
http://hdl.handle.net/1822/52833 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0219-5259 10.1142/S0219525915500253 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
World Scientific Publishing Company |
publisher.none.fl_str_mv |
World Scientific Publishing Company |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132504521703424 |