2024/04/22 by Agathe Sadeghi, Zachary Feinstein, Sadeghi, Agathe +1
Economics, Econometrics and Finance · Physics and Astronomy · #Applications (stat.AP) #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Opinion Dynamics and Social Influence #Risk Management (q-fin.RM)
paper · pdf · doi:10.48550/arxiv.2404.14337
openalex publication_date 2024/04/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we introduce an impact centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions, permitting comparisons of these risks over time. In addition, we provide a statistical validation method when the network is estimated from data, as is done in practice. This statistical test allows us to reliably assess the computed centrality values. We validate our methodology on simulated data and conduct empirical case studies using financial data. We find that our proposed centrality measure increases significantly during times of financial distress and is able to provide insights into the (market implied) risk-levels of different firms and sectors.