Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Alternative Investments
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Alternative Investments

The Journal of Alternative Investments

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • PA Reports
  • Submit an article
  • More
    • About JAI
    • Editorial Board
    • Published Ahead of Print (PAP)
    • CAIA Member Login
  • LinkedIn
  • Twitter

Matrix Metrics: Network-Based Systemic Risk Scoring

Sanjiv Ranjan Das
The Journal of Alternative Investments Spring 2016, 18 (4) 33-51; DOI: https://doi.org/10.3905/jai.2016.18.4.033
Sanjiv Ranjan Das
is the William and Janice Terry professor of finance at Santa Clara University in Santa Clara, CA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: srdas@scu.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 

Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

The author proposes a novel framework for network-based systemic risk measurement and management. He defines a new systemic risk score that depends on the level of individual risk at each financial institution and the interconnectedness across institutions; this score is generally applicable irrespective of how interconnectedness is defined. This risk metric is decomposable into risk contributions from each entity, forming a basis for taxing each entity appropriately. The authors shows that we may calculate risk increments to assess the potential risk of each entity on the overall financial system. The article develops other subsidiary risk measures, such as system fragility and entity criticality. An assessment using a measure of spillover risk is obtained to determine the scale of externalities that one bank might impose on the system; the metric is robust to this cross-risk and does not induce predatory spillovers. The analysis in this article suggests that splitting up too-big-to-fail banks does not lower systemic risk.

TOPICS: Financial crises and financial market history, risk management, statistical methods

  • © 2016 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Alternative Investments: 18 (4)
The Journal of Alternative Investments
Vol. 18, Issue 4
Spring 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Alternative Investments.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Matrix Metrics: Network-Based Systemic Risk Scoring
(Your Name) has sent you a message from The Journal of Alternative Investments
(Your Name) thought you would like to see the The Journal of Alternative Investments web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Matrix Metrics: Network-Based Systemic Risk Scoring
Sanjiv Ranjan Das
The Journal of Alternative Investments Mar 2016, 18 (4) 33-51; DOI: 10.3905/jai.2016.18.4.033

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Matrix Metrics: Network-Based Systemic Risk Scoring
Sanjiv Ranjan Das
The Journal of Alternative Investments Mar 2016, 18 (4) 33-51; DOI: 10.3905/jai.2016.18.4.033
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • MODELING
    • EXTENDED METRICS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • A Network Approach to Analyzing Hedge Fund Connectivity
  • A Network and Machine Learning Approach to Factor, Asset, and Blended Allocation
  • The Bond-Equity-Fund Relation Using the Fama-French-Carhart Factors: A Practical Network Approach
  • From Risk Factors to Networks: A Case Study on Interconnectedness Using Currency Funds
  • Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News
  • Dynamic Systemic Risk: Networks in Data Science
  • Systemic Risk and Alternative Investments: * A Summary of Selections from the State of the Art
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 13 1600
 
NEW YORK
41 Madison Avenue, 20th Floor, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1520-3255 | E-ISSN: 2168-8435

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies