[P2P-F] Fw: [gang8] interbank settlement etc.

Sat Sep 8 12:45:44 CEST 2012

Hi Robert,

I went to that link you provided and it's dead. Cornell university moved
the document to another link:

http://arxiv.org/abs/1107.5728

On Sat, Sep 8, 2012 at 3:01 AM, robert searle <dharao4 at yahoo.co.uk> wrote:

>
>
>  ----- Forwarded Message -----
> *From:* Gunnar Tómasson <gunnar.tomasson at verizon.net>
> *To:* gang8 at yahoogroups.com
> *Sent:* Thursday, 6 September 2012, 13:07
> *Subject:* Re: [gang8] interbank settlement etc.
>
>
>  Thanks for sharing these links, Richard.
>
> I will be interested to see whether the international banking system may
> have moved towards what I have been toying with since the 1980s, namely the
> idea of automatic overdraft facilities within a computerized international
> banking network for banking units that follow certain
> (still-to-be-specified) macro-prudential guidelines for their loan
> operations.
>
> I have in mind an updated version of Keynes's bancor concept/international
> financial framework.
>
> Of course, it is not a practical concept as of now - but once the
> post-Bretton Woods international monetary non-system runs out of
> operational steam, Keynes's thinking may serve as a guide to a sustainable
> system.
>
> Gunnar
>
>
> Sep 6, 2012 04:27:20 AM, gang8 at yahoogroups.com wrote:
>
>
>   Dear All,
>
> Robert Fischer wants to draw our attention to three articles about the web
> of interbank connections, and implications, namely
>
>
> 1. Stefano Battiston et al. in Nature (Aug 2012):
>
> *
> **DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic
> Risk** *
>
>
>                *Abstract*
> *Systemic risk, here meant as the risk of default of a large portion of
> the financial system, depends on the network of financial exposures among
> institutions. However, there is no widely accepted methodology to determine
> the systemically important nodes in a network. To fill this gap, we
> introduce, DebtRank, a novel measure of systemic impact inspired by
> feedback-centrality. As an application, we analyse a new and unique dataset
> on the USD 1.2 trillion FED emergency loans program to global financial
> institutions during 2008–2010. We find that a group of 22 institutions,
> which received most of the funds, form a strongly connected graph where
> each of the nodes becomes systemically important at the peak of the crisis.
> Moreover, a systemic default could have been triggered even by small
> dispersed shocks. The results suggest that the debate on too-big-to-fail
> institutions should include the even more serious issue of
> too-central-to-fail.*
> *             *
> *Source: **<http://www.nature.com/srep/2012/120802/srep00541/full/srep00541.html>
> http://www.nature.com/srep/2012/120802/srep00541/full/srep00541.html*
>
>
> 2. Working paper Nr 321 of the Bank of England:
> On which he comments:  “an interesting thought, IMHO related with the work
> of Stefano Battiston et al.;  i.e. the *netting matrix for bank systems*(see page 11). On page 17 there is an important math formula regarding
> netting ratio between interbank and centrally settled banking networks:
> A-network:  That means correspondent banking, i.e. Transactions in system
> between “n” international banks *without* Central Bank, (I call that
> decentral netting or clearing)
>
>
> B-network:  Transaction of  “n” Banks *with* a clearing center (I call
> that central netting or clearing)
> Theoretically the netting ratio of an A-Network of “n” Banks is sqrt(n-1)
> times larger then in a  B-network. In other words:  In case of a  global
> systemic crisis, the “n” banks interconnected in the  A-network  *would*need theoretically sqrt(n-1) times more central bank money for the the
> settlement of their open net debit-credit-positions then in a B-Network.
> Nota bene: Actually the *unsettled* debit-credit positions of “our”
> worldwide  A-network  mount to 21 Trillion (10^12) $. (See BIS, quarterly
> review)
>
>
> 3.  *Stefania Vitali, James B. Glattfelder and Stefano Battiston*
> *The network of global corporate control
> **
> **
> Abstract
> **The structure of the control network of transnational corporations
> affects global market competition and financial stability. So far, only
> small national samples were studied and there was no appropriate
> methodology to assess control globally. We present the first investigation
> of the architecture of the international ownership network, along with the
> computation of the control held by each global player. We find that
> transnational corporations form a giant bow-tie structure and that a large
> portion of control flows to a small tightly-knit core of financial
> institutions.
> This core can be seen as an economic “super-entity” that raises new
> important issues both for researchers and policy makers.*
>
> The paper is available at: <http://arxiv.org/pdf/1107.5728v2.pdf>
> http://arxiv.org/pdf/1107.5728v2.pdf or
> <http://www.plosone.org/article/info%3Adoi%2F10.1371%2Fjournal.pone.0025995>
> http://www.plosone.org/article/info%3Adoi%2F10.1371%2Fjournal.pone.0025995
>
>
> Thanks Robert for passing these on with your comments.
> Warm regards,
> Richard
>
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