Poledna Sebastian, Hinteregger Abraham, Thurner Stefan
International Institute for Applied Systems Analysis, Schlossplatz 1, 2361 Laxenburg, Austria.
Complexity Science Hub Vienna, Josefstädter Straße 39, 1080 Vienna, Austria.
Entropy (Basel). 2018 Oct 16;20(10):792. doi: 10.3390/e20100792.
The notions of systemic importance and systemic risk of financial institutions are closely related to the topology of financial liability networks. In this work, we reconstruct and analyze the financial liability network of an entire economy using data of 50,159 firms and banks. Our analysis contains 80.2% of the total liabilities of firms towards banks and all interbank liabilities in the Austrian banking system. The combination of firm-bank networks and interbank networks allows us to extend the concept of systemic risk to the real economy. In particular, the systemic importance of individual companies can be assessed, and for the first time, the financial ties between the financial and the real economy become explicitly visible. We find that firms contribute to systemic risk in similar ways as banks do. We identify a set of mid-sized companies that carry substantial systemic risk. Their default would affect up to 40% of the Austrian financial market. We find that all firms together create more systemic risk than the entire financial sector. In 2008, the total systemic risk of the Austrian interbank network amounted to only 29% of the total systemic risk of the entire financial network consisting of firms and banks. The work demonstrates that the notions of systemically important financial institutions (SIFIs) can be directly extended to firms.
金融机构的系统重要性和系统风险概念与金融负债网络的拓扑结构密切相关。在这项工作中，我们使用50159家公司和银行的数据重建并分析了整个经济体的金融负债网络。我们的分析涵盖了公司对银行的负债总额的80.2%以及奥地利银行体系中的所有银行间负债。公司 - 银行网络和银行间网络的结合使我们能够将系统风险的概念扩展到实体经济。特别是，可以评估单个公司的系统重要性，并且金融与实体经济之间的金融联系首次清晰可见。我们发现公司对系统风险的贡献方式与银行类似。我们识别出一组承担重大系统风险的中型公司。它们的违约将影响高达40%的奥地利金融市场。我们发现所有公司共同创造的系统风险比整个金融部门还要多。2008年，奥地利银行间网络的总系统风险仅占由公司和银行组成的整个金融网络总系统风险的29%。这项工作表明，具有系统重要性的金融机构（SIFI）的概念可以直接扩展到公司。
