The contribution of the intra-firm exposures network to systemic risk
We propose to use a systemic risk metric for an extended network which includes the inter-bank network, the banks-firms bipartite network, and the intrafirm exposures network in Uruguay. This is the first work, to the best of our knowledge, in which the intra-firm exposures network is estimated with...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-06-01
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| Series: | Latin American Journal of Central Banking |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666143821000120 |
| _version_ | 1818609528856379392 |
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| author | Victoria Landaberry Fabio Caccioli Anahi Rodriguez-Martinez Andrea Baron Serafin Martinez-Jaramillo Rodrigo Lluberas |
| author_facet | Victoria Landaberry Fabio Caccioli Anahi Rodriguez-Martinez Andrea Baron Serafin Martinez-Jaramillo Rodrigo Lluberas |
| author_sort | Victoria Landaberry |
| collection | DOAJ |
| description | We propose to use a systemic risk metric for an extended network which includes the inter-bank network, the banks-firms bipartite network, and the intrafirm exposures network in Uruguay. This is the first work, to the best of our knowledge, in which the intra-firm exposures network is estimated with good accuracy by using information from a firm survey. Given that the survey only includes the three most relevant debtors and creditors, we complete the full intra-firm exposures matrix by resorting to Maximum Entropy, Minimum Density and a new method which takes into account the known entries of the matrix obtained from the survey. We show that ignoring intra-firm exposures results in an important underestimation of systemic risk. Moreover, if the marginal liabilities are used as an indicator of the systemic relevance of firms, important network effects are ignored. To conclude, the paper contributes with a precise estimation of the impact of intra-firm exposures to overall systemic risk. |
| first_indexed | 2024-12-16T14:59:59Z |
| format | Article |
| id | doaj.art-60370313c2254e8e83cf492500eda345 |
| institution | Directory Open Access Journal |
| issn | 2666-1438 |
| language | English |
| last_indexed | 2024-12-16T14:59:59Z |
| publishDate | 2021-06-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Latin American Journal of Central Banking |
| spelling | doaj.art-60370313c2254e8e83cf492500eda3452022-12-21T22:27:19ZengElsevierLatin American Journal of Central Banking2666-14382021-06-0122100032The contribution of the intra-firm exposures network to systemic riskVictoria Landaberry0Fabio Caccioli1Anahi Rodriguez-Martinez2Andrea Baron3Serafin Martinez-Jaramillo4Rodrigo Lluberas5Banco Central del Uruguay, UruguayUniversity College London, United KingdomCorresponding author.; CEMLA, MexicoBanco Central del Uruguay, UruguayCEMLA, Mexico; Banco de México, MexicoBanco Central del Uruguay, UruguayWe propose to use a systemic risk metric for an extended network which includes the inter-bank network, the banks-firms bipartite network, and the intrafirm exposures network in Uruguay. This is the first work, to the best of our knowledge, in which the intra-firm exposures network is estimated with good accuracy by using information from a firm survey. Given that the survey only includes the three most relevant debtors and creditors, we complete the full intra-firm exposures matrix by resorting to Maximum Entropy, Minimum Density and a new method which takes into account the known entries of the matrix obtained from the survey. We show that ignoring intra-firm exposures results in an important underestimation of systemic risk. Moreover, if the marginal liabilities are used as an indicator of the systemic relevance of firms, important network effects are ignored. To conclude, the paper contributes with a precise estimation of the impact of intra-firm exposures to overall systemic risk.http://www.sciencedirect.com/science/article/pii/S2666143821000120Systemic riskIntrafirm networkBipartite networkRAS algorithm |
| spellingShingle | Victoria Landaberry Fabio Caccioli Anahi Rodriguez-Martinez Andrea Baron Serafin Martinez-Jaramillo Rodrigo Lluberas The contribution of the intra-firm exposures network to systemic risk Latin American Journal of Central Banking Systemic risk Intrafirm network Bipartite network RAS algorithm |
| title | The contribution of the intra-firm exposures network to systemic risk |
| title_full | The contribution of the intra-firm exposures network to systemic risk |
| title_fullStr | The contribution of the intra-firm exposures network to systemic risk |
| title_full_unstemmed | The contribution of the intra-firm exposures network to systemic risk |
| title_short | The contribution of the intra-firm exposures network to systemic risk |
| title_sort | contribution of the intra firm exposures network to systemic risk |
| topic | Systemic risk Intrafirm network Bipartite network RAS algorithm |
| url | http://www.sciencedirect.com/science/article/pii/S2666143821000120 |
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