Key Borrowers Detection by Long-Range Interactions

44 Pages Posted: 3 Aug 2016

See all articles by Fuad T. Aleskerov

Fuad T. Aleskerov

National Research University Higher School of Economics

Natalia Meshcheryakova

National Research University Higher School of Economics

Alisa Nikitina

National Research University Higher School of Economics

Sergey Shvydun

National Research University Higher School of Economics; Trapeznikov Institute of Control Sciences RAS

Date Written: August 2, 2016

Abstract

We propose a new method for assessing agents' influence in financial network structures, which takes into consideration the intensity of interactions. A distinctive feature of this approach is that it considers not only direct interactions of agents of the first level and indirect interactions of the second level, but also long-range indirect interactions. At the same time we take into account the attributes of agents as well as the possibility of impact to a single agent from a group of other agents. This approach helps us to identify systemically important elements which cannot be detected by classical centrality measures or other indices. The proposed method was used to analyze the banking foreign claims for the end of 1Q 2015. Under the approach, two types of key borrowers were detected: a) major players with high ratings and positive credit history; b) intermediary players, which have a great scale of financial activities through the organization of favorable investment conditions and positive business climate.

Keywords: systemic risk, key borrower, interconnectedness, centrality

JEL Classification: C7, G2

Suggested Citation

Aleskerov, Fuad T. and Meshcheryakova, Natalia and Nikitina, Alisa and Shvydun, Sergey, Key Borrowers Detection by Long-Range Interactions (August 2, 2016). Higher School of Economics Research Paper No. WP BRP 56/FE/2016, Available at SSRN: https://ssrn.com/abstract=2817278 or http://dx.doi.org/10.2139/ssrn.2817278

Fuad T. Aleskerov (Contact Author)

National Research University Higher School of Economics ( email )

20 Myasnitskaya Ulitsa
Moscow, 101000
Russia

Natalia Meshcheryakova

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Alisa Nikitina

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Sergey Shvydun

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Trapeznikov Institute of Control Sciences RAS ( email )

65 Profsoyuznaya street
Moscow, 117997
Russia

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