Systemic Risk and Complex Networks in Modern Financial Systems : Insights into Stability and Resilience / Vincenzo Pacelli.

Intro -- Preface -- Acknowledgements -- Contents -- Editor and Contributors -- Part I Theory, Policy, and Methodology -- 1. Systemic Risk and Complex Networks in Modern Financial Systems -- Introduction -- Systemic Risk: Definition, Causes and Propagation Mechanisms -- The Utility of Network Science for Systemic Risk Analysis -- Concluding Remarks -- References -- 2. Systemic Risk and Network Science: A Bibliometric and Systematic Review -- Introduction -- Background and Research Question Development -- Research Design and Methodology -- Descriptive Sample Analysis -- Discussion of Results -- Conclusions -- References -- 3. A Holistic Journey into Systemic Risk: Theoretical Background, Transmission Channels and Policy Implications -- What is Systemic Risk? -- Channels of Transmission -- Determinant of Systemic Risk: Theoretical and Empirical Backgrounds -- Measuring Systemic Risk and Financial Stability -- Indicator-Based Measure: Regulatory Approach -- Systemic Risk and Financial Stability: Two Sides of the Same Coin -- Market-Based Measures -- Network Analysis -- Multilayer Design -- Theoretical Dynamic Network Modeling Approaches -- A Theoretical Model on Financial Structure Characteristics: A Liquidity Risk Case Study -- References -- 4. Macro-Prudential Policies to Mitigate Systemic Risk: An International Overview -- Introduction -- The Necessary Shift from Purely Micro-Prudential Regulatory and Supervisory Schemes to Macro-Prudential Approaches -- A Comparative Analysis of International Financial Regulatory Structures to Mitigate Systemic Risk -- Europe -- United States -- China -- Islamic Countries -- Japan -- Conclusions -- References -- 5. Systemic Risks and Multilayer Financial Networks: From Contagion to Mitigation -- Introduction -- The Role of Complex Financial Networks -- Complex Financial Networks and Systemic Risk: Possible Mechanism of Transmission -- Regulators and Policy-Makers Measures to Mitigate Systemic Risk in the Presence of Financial Networks -- The European Systemic Risk Board (ESRB) -- Reasons of the ESRB Establishment and Its Main Characters -- Main Elements of Strength and Weakness of the ESRB -- Some Implications of Systemic Risk and Complex Network in the New Sustainable Financial Context -- Conclusions -- References -- 6. The Impact of Inflation and Financial Stability on the European Financial System: A Network Approach -- Introduction and Overview -- Econometric Design -- Estimation of the Network -- Empirical Multipliers -- Data -- Results -- Conclusions -- References -- 7. Credit Risk Transfer and Systemic Risk -- The Reasons Behind Research on the Systemic Relevance of Credit Risk Transfer from Banks to Insurance Companies -- Circulation of Credit Risk, Systemic Risks, and Insurance Supervision -- References -- 8. Systemic Cyber Risk in the Financial Sector: Can Network Analysis Assist in Identifying Vulnerabilities and Improving Resilience? -- Introduction -- Systemic Cyber Risk: Overview in the Financial System -- The Systemic Nature of Cyber Risk in the Financial System -- Analysis of Financial Cyber Risk in Light of Other Systemic Risks -- The Utility of Network Science for Systemic Cyber Risk Analysis in the Financial System: The Proposed Theoretical Framework -- Cyber Mapping Challenges -- Concluding Remarks -- References -- 9. Time Sensitive and Oversampling Learning for Systemic Crisis Forecasting -- Introduction -- Economic-Financial Indicators for EU Countries and Crisis Events -- Dependent Variable -- Independent Variables -- Forecasting Time Series: Windowing, Temporal Cross Validation and SMOTE -- Time Series Input Variables and Forecast Horizons -- Temporal Cross Validation -- SMOTE Algorithm -- Time Series Forecasting: Machine Learning Algorithms and the Crisis Likelihood -- Dynamics of Crisis Likelihoods -- Conclusions and Future Perspectives -- References -- 10. A Fiber Bundle Model of Systemic Risk in Financial Networks -- Introduction -- Avalanches in the Fiber Bundle Model -- Inequality of Avalanches: Lorenz Function -- Calculating the Gini and Kolkata Indices for Fiber Bundle Model -- Avalanches in Bank Collapse -- Inequality Indices for Bank Collapse Data -- A Model for Bank Failure -- Summary and Conclusions -- References -- 11. Measuring Systemic Risk: A Review of the Main Approaches -- Introduction -- A Preliminary Overview of the Main Approaches to Quantify Systemic Risk -- Probability Distribution Measures -- Delta Conditional Value at Risk (∆CoVaR) -- Marginal Expected Shortfall (MES) -- Systemic Expected Shortfall (SES) -- Systemic Risk Measure (SRISK) -- Network Models -- Illiquidity Measures -- Systemic Contingent Claims and Default Measures -- Macroeconomic Measures -- References -- Part II Empirical Insights -- 12. Systemic Risk and the Insurance Sector: A Network Perspective -- Systemic Risk: Concepts for Insurance Sector and Transmission Channels -- Systemic Risk Management of the Insurance Market -- Systemic Risk and the Insurance Sector: An Analysis of the European Market -- Systemic Risk and Insurance Sector: Policies Approach and Financial Connections -- Brief Concluding Remarks -- References -- 13. Damping Systemic Risk. The Role of Cooperative Banks -- Introduction -- Literature Review -- Data and Methodology -- Description of the Dataset -- Methodology -- Empirical Results -- Conclusions -- References -- 14. Shocks at Local Banks, EU GDP Growth, and Banking Sector Stability -- Introduction -- The Granular Residual in Banking -- Relationship Between Banks’ Idiosyncratic Shocks and Real Economy Outcomes -- Relationship Between Banks’ Idiosyncratic Shocks and Banking System Stability -- Data and Methods -- Data -- Country-Level GDP Growth and Bank Z-Score -- Measurement of Locally Dominant Banks -- Identification of Local Bank Idiosyncratic Shocks -- Summary Statistics -- Which EU Countries Are Bank Granular? -- Identification of Bank Granular EU Countries -- Characteristics of Locally Dominant Banks -- Locally Dominant Banks, EU GDP Growth, and EU Bank Z Score -- Summary and Conclusions -- References -- 15. How Does NPLs Securitization Affect EU Banks’ Systemic Risk? -- Introduction -- Literature Review -- Data and Methodology -- Data -- Empirical Methodology -- Empirical Results -- Robustness -- Conclusion -- Appendix -- References -- 16. The Systemic Importance of Cyber Risk in Banks -- Cyber Risk: Definition and Implications -- The Cyber Risk in Banks: A Literature Review -- Cyber Risk as a Systemic Risk -- The Point of View of Financial Regulators -- Banks’ Exposure to Cyber Risk: Some Empirical Evidence -- (Non) Conclusive Remarks -- References -- 17. The Dynamics of Crypto Markets and the Fear of Risk Contagion -- Introduction -- Literature Review -- Data and Methods -- VAR and Spillover -- Risk Indicators -- People and Investor Attention -- SIR Model -- Results -- Short-Term Interconnection and Spillover Effect -- Simulated Dynamics Under the SIR Approach -- Conclusions and Policy Implications -- References -- 18. Cryptocurrencies and Systemic Risk. The Spillover Effects Between Cryptocurrency and Financial Markets -- Introduction -- Literature Review -- Methodology -- Data -- Results -- Impulse Response Results -- Conclusion -- References -- 19. Financial Challenges and Threats of Circular Economy Logistics -- Introduction -- Literature Review -- Research Methodology -- Results -- Step 1 -- Step 2 -- Increased Financial Risks -- Operational Challenges -- Step 3 -- Step 4 -- Conclusion -- References -- 20. Systemic Risks to Capital Investment Flows in the Post-crisis Economy of Ukraine -- Focus and the Novelty of the Research -- Literature Review -- Research Methodology -- Results -- Conclusions and Proposals -- References -- Conclusion -- Vincenzo Pacelli.

This open access book is a groundbreaking exploration of systemic risk in modern financial systems. Through its theoretical and empirical investigations, it reveals the multidimensionality of systemic risk, the transmission channels of crises, and the interlinkages between physical, transition, and financial risks. It introduces cutting-edge methodologies, including prediction and optimization models based on complex networks, multilayer networks and eXplainable Artificial Intelligence (XAI) approaches, to forecast and measure systemic risk and financial crisis. It provides insight for academics, practitioners, policy and supervisory authorities, and bankers and financial market operators on understanding the links that determine the propagation of financial crises and the emergence of systemic risks. This book is essential for those wishing to better understand systemic risk and its implications.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2025. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.