Dataset Information

Systemic stress test model for shared portfolio networks.

ABSTRACT: We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system. We apply the model to the European sovereign debt crisis and observe that the results closely match real-world events (e.g., the high risk of Greek sovereign bonds and the distress of Greek banks). Our model could become complementary to existing stress tests, incorporating the contribution of interconnectivity of the banks to systemic risk in time-dependent networks. Additionally, we propose an institutional systemic importance ranking, BankRank, for the financial institutions analyzed in this study to assess the contribution of individual banks to the overall systemic risk.

SUBMITTER: Vodenska I

PROVIDER: S-EPMC7870944 | biostudies-literature | 2021 Feb

REPOSITORIES: biostudies-literature

ACCESS DATA

Publications

Systemic stress test model for shared portfolio networks.

Vodenska Irena I Dehmamy Nima N Becker Alexander P AP Buldyrev Sergey V SV Havlin Shlomo S

Scientific reports 20210208 1

We propose a dynamic model for systemic risk using a bipartite network of banks and assets in which the weight of links and node attributes vary over time. Using market data and bank asset holdings, we are able to estimate a single parameter as an indicator of the stability of the financial system. We apply the model to the European sovereign debt crisis and observe that the results closely match real-world events (e.g., the high risk of Greek sovereign bonds and the distress of Greek banks). Ou ...[more]

PMID: 33558573

Similar Datasets

Project description:BackgroundMeasuring care coordination in administrative data facilitates important research to improve care quality.ObjectiveTo compare shared patient networks constructed from administrative claims data across multiple payers.DesignSocial network analysis of pooled cross sections of physicians treating prevalent colorectal cancer patients between 2003 and 2013.ParticipantsSurgeons, medical oncologists, and radiation oncologists identified from North Carolina Central Cancer Registry data linked to Medicare claims (N = 1735) and private insurance claims (N = 1321).Main measuresProvider-level measures included the number of patients treated, the number of providers with whom they share patients (by specialty), the extent of patient sharing with each specialty, and network centrality. Network-level measures included the number of providers and shared patients, the density of shared-patient relationships among providers, and the size and composition of clusters of providers with a high level of patient sharing.ResultsFor 24.5% of providers, total patient volume rank differed by at least one quintile group between payers. Medicare claims missed 14.6% of all shared patient relationships between providers, but captured a greater number of patient-sharing relationships per provider compared with the private insurance database, even after controlling for the total number of patients (27.242 vs 26.044, p < 0.001). Providers in the private network shared a higher fraction of patients with other providers (0.226 vs 0.127, p < 0.001) compared to the Medicare network. Clustering coefficients for providers, weighted betweenness, and eigenvector centrality varied greatly across payers. Network differences led to some clusters of providers that existed in the combined network not being detected in Medicare alone.ConclusionMany features of shared patient networks constructed from a single-payer database differed from similar networks constructed from other payers' data. Depending on a study's goals, shortcomings of single-payer networks should be considered when using claims data to draw conclusions about provider behavior.

Dataset Information

Systemic stress test model for shared portfolio networks.

Publications

Systemic stress test model for shared portfolio networks.

Similar Datasets

OmicsDI is part of the ELIXIR infrastructure

Tweets