1,720,980 research outputs found
Performances of some parameter estimators of the Generalized Pareto Distribution over rounded-off samples
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Determinazione del parametro di soglia della distribuzione di Pareto generalizzata su campioni di pioggia con misure arrotondate
No full textCredit default swaps networks and systemic risk
Full text linkCredit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities
DebtRank: Too central to fail? Financial networks, the FED and systemic risk
Full text linkSystemic 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 2008g-2010. We find that a group of 22 institutions, which received most of the funds, form a strongly connected graph where each of the nodes becomes systemically important at the peak of the crisis. Moreover, a systemic default could have been triggered even by small dispersed shocks. The results suggest that the debate on too-big-to-fail institutions should include the even more serious issue of too-central-to-fail
A social network analysis of the organizations focusing on tuberculosis, malaria and pneumonia
No full textIn this paper,we present an original study on the use of social media data to analyze the structure of the global health networks (GHNs) relative to health organizations targeted to malaria, tuberculosis (TBC) and pneumonia as well as twitter popularity, evaluating the performance of their strategies in response to the arising health threats. We use a machine learning ensemble classifier and social network analysis to discover the Twitter users that represent organizations or groups active for each disease. We have found evidence that the GHN of TBC is the more mature, active and global. Meanwhile, the networks of malaria and pneumonia are found to be less connected and lacking global coverage. Our analysis validates the use of social media to analyze GHNs and to propose these networks as an important organizational tool in mobilizing the community versus global sustainable development goals
Monetary policy, crisis and capital centralization in corporate ownership and control networks: A B-Var analysis
No full textBased on a connection between network analysis and B-VAR models, this paper provides a first empirical evidence of the relationships between capital centralization expressed in terms of network control on one hand and monetary policy guidelines and business cycles on the other. Our findings suggest that a tightening monetary policy leads to a decrease in the fraction of top shareholders of network control which results in a higher centralization of capital; and that a higher centralization of capital, in turn, leads to a reduction of GDP with respect to its trend. These relations are confirmed both for the United States and the Euro Area
Centralization of capital and financial crisis: A global network analysis of corporate control
No full textNeither the existence of a global tendency toward the centralization of capital as theorized by Marx nor the possible links between economic crisis and capital centralization have been verified by empirical studies. Using techniques of complex network analysis applied to the Thomson Reuters Eikon database we introduce a definition of centralization as network control and present a first study of its global evolution from 2001 to 2016. We find that the global network control is highly centralized: the fraction of the top holders cumulatively holding the 80% of the global economic value of the companies examined does never exceed 2%. Furthermore, by inspecting the temporal dynamics of the phenomenon we observe a relevant increase in the centralization of capital: this trend assumes a more regular and general character since the financial crisis started in 2007, with a growth of more than 20%
The early weeks of the Italian Covid-19 outbreak: sentiment insights from a Twitter analysis
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