ArticleScientific reports2016
Statistically validated network of portfolio overlaps and systemic risk.
Article in Scientific reports, 2016. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 20 papers.
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Who cites it
20 citing papers in PubMed.
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- Double reinforcement learning for cluster synchronization of Boolean control networks under denial of service attacks.PloS one · 2025Article
- An evaluation tool for backbone extraction techniques in weighted complex networks.Scientific reports · 2023Article
- Inference of monopartite networks from bipartite systems with different link types.Scientific reports · 2023Article
- Understanding European integration with bipartite networks of comparative advantage.PNAS nexus · 2022Article
- Bow-tie structures of twitter discursive communities.Scientific reports · 2022Article
- Structure of Investor Networks and Financial Crises.Entropy (Basel, Switzerland) · 2021Article
- Crowded Trades, Market Clustering, and Price Instability.Entropy (Basel, Switzerland) · 2021Article
- Urbanization and economic complexity.Scientific reports · 2021Article
- Italian Twitter semantic network during the Covid-19 epidemic.EPJ data science · 2021Article
- The Language of Innovation.PloS one · 2020Article
- Unfolding the innovation system for the development of countries: coevolution of Science, Technology and Production.Scientific reports · 2019Article
- Influence of Technological Innovations on Industrial Production: A Motif Analysis on the Multilayer Network.Entropy (Basel, Switzerland) · 2019Article
- Multiscale core-periphery structure in a global liner shipping network.Scientific reports · 2019Article
- Systemic risk from investment similarities.PloS one · 2019Article
- Multilayer Aggregation with Statistical Validation: Application to Investor Networks.Scientific reports · 2018Article
- Dynamics of investor spanning trees around dot-com bubble.PloS one · 2018Article
- Detecting early signs of the 2007-2008 crisis in the world trade.Scientific reports · 2016Article
- Entangling Credit and Funding Shocks in Interbank Markets.PloS one · 2016Article
Corrections and comments
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Authors and funding
5 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
Common asset holding by financial institutions (portfolio overlap) is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and severe losses at the systemic level. We propose a method to assess the statistical significance of the overlap between heterogeneously diversified portfolios, which we use to build a validated network of financial institutions where links indicate potential contagion channels. The method is implemented on a historical database of institutional holdings ranging from 1999 to the end of 2013, but can be applied to any bipartite network. We find that the proportion of validated links (i.e. of significant overlaps) increased steadily before the 2007-2008 financial crisis and reached a maximum when the crisis occurred. We argue that the nature of this measure implies that systemic risk from fire sales liquidation was maximal at that time. After a sharp drop in 2008, systemic risk resumed its growth in 2009, with a notable acceleration in 2013. We finally show that market trends tend to be amplified in the portfolios identified by the algorithm, such that it is possible to have an informative signal about institutions that are about to suffer (enjoy) the most significant losses (gains).
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Registered trials
Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.