Template-Type: ReDIF-Paper 1.0
Author-Name: Nicolò Pecora
Author-X-Name-First: Nicolò
Author-X-Name-Last: Pecora
Author-Name: Alessandro Spelta
Author-X-Name-First: Alessandro 
Author-X-Name-Last: Spelta
Author-Email: alessandro.spelta@unicatt.it
Author-Workplace-Name: Università Cattolica del Sacro Cuore
Author-Workplace-Name: Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore




Title: Discovering SIFIs in interbank communities

Abstract: This paper proposes a new methodology based on non-negative matrix factor-
ization to detect communities and to identify Systemically Important Financial In-
stitutions in the interbank network as well as within communities.
The method is speci…cally designed for directed weighted networks and it is able
to take into account exposures on both sides of banks’balance sheets, distinguishing
between Systemically Important Borrowers and Lenders.
Using interbank transactions data from the e-Mid platform, we show that the
systemic importance associated with Italian banks decreased during the 2007-2009
…nancial crisis while the opposite happened for foreign institutions.
We also show that, as the transactions volume grew, the number of communities
rose as well. The contrary happened during the crisis phase.
Moreover results indicate that, during …nancial crisis, banks strongly operate
into non overlapping communities with few institutions playing the role of SIFIs.
On the contrary during business as usual times banks act in several and overlapping
modules.
Length: 22
Creation-Date: 2016-02
File-URL: http://dipartimenti.unicatt.it/economia-finanza-def037.pdf
File-Format: Application/pdf
File-Function: First version, 2016
Number: def037
Classification-JEL: D8, L14, C02. 
Keywords: Financial networks, community detection, systemic risk.
Handle: RePEc:ctc:serie1:def037