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• W3201666148 abstract "We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank dynamics, we measure observed systemic risk on e-MID network data (augmented by BankFocus information) and compare it with the expected systemic of a null model network, obtained through an appropriate maximum-entropy approach constraining relevant balance sheet variables. We show that the aggregate levels of observed and expected systemic risks are usually compatible but differ significantly during turbulent times (in our case, after the default of Lehman Brothers and the VLTRO implementation by the ECB). At the individual level instead, banks are typically more or less risky than what their balance sheet prescribes due to their position in the network. Our results confirm on one hand that balance sheet information used within a proper maximum-entropy network models provides good systemic risk estimates, and on the other hand the importance of knowing the empirical details of the network for conducting precise stress tests of individual banks, especially after systemic events." @default.
• W3201666148 created "2021-10-11" @default.
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• W3201666148 date "2021-09-29" @default.
• W3201666148 modified "2023-09-27" @default.
• W3201666148 title "Systemic risk in interbank networks: disentangling balance sheets and network effects" @default.
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