Multiplex Interbank Networks and Systemic Importance: An Application to European Data

SAFE Working Paper No. 102

45 Pages Posted: 8 May 2015 Last revised: 6 Aug 2015

Iñaki Aldasoro

Bank for International Settlements (BIS); Goethe University Frankfurt; Goethe University Frankfurt - Research Center SAFE

Ivan Alves

European Central Bank

Multiple version iconThere are 3 versions of this paper

Date Written: May 1, 2015

Abstract

Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks balance sheets is more complex than the single-layer-of-exposure approach. We use data on exposures between large European banks broken down by both maturity and instrument type to characterise the main features of the multiplex structure of the network of large European banks. This multiplex network presents positive correlated multiplexity and a high similarity between layers, stemming both from standard similarity analyses as well as a core-periphery analyses of the different layers. We propose measures of systemic importance that fit the case in which banks are connected through an arbitrary number of layers (be it by instrument, maturity or a combination of both). Such measures allow for a decomposition of the global systemic importance index for any bank into the contributions of each of the sub-networks, providing a useful tool for banking regulators and supervisors in identifying tailored policy instruments. We use the dataset of exposures between large European banks to illustrate that both the methodology and the specific level of network aggregation matter in the determination of interconnectedness and thus in the policy making process.

Keywords: interbank networks, systemic importance, multiplex networks

JEL Classification: G21, D85, C67

Suggested Citation

Aldasoro, Iñaki and Alves, Ivan, Multiplex Interbank Networks and Systemic Importance: An Application to European Data (May 1, 2015). SAFE Working Paper No. 102. Available at SSRN: https://ssrn.com/abstract=2603732 or http://dx.doi.org/10.2139/ssrn.2603732

Iñaki Aldasoro (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Goethe University Frankfurt ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Goethe University Frankfurt - Research Center SAFE ( email )

(http://www.safe-frankfurt.de)
Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

Ivan B. Alves

European Central Bank ( email )

Kaiserstr. 29
Frankfurt am Main, 60311
Germany

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