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Network centrality measures and systemic risk: An application to the Turkish financial crisis

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  • Kuzubaş, Tolga Umut
  • Ömercikoğlu, Inci
  • Saltoğlu, Burak
Abstract
In this paper, we analyze the performance of several network centrality measures in detecting systemically important financial institutions (SIFI) using data from the Turkish Interbank market during the financial crisis in 2000. We employ various network investigation tools such as volume, transactions, links, connectivity and reciprocity to gain a clearer picture of the network topology of the interbank market. We study the main borrower role of Demirbank in the crash of the banking system with network centrality measures which are extensively used in the network theory. This ex-post analysis of the crisis shows that centrality measures perform well in identifying and monitoring systemically important financial institutions which provide useful insights for financial regulations.

Suggested Citation

  • Kuzubaş, Tolga Umut & Ömercikoğlu, Inci & Saltoğlu, Burak, 2014. "Network centrality measures and systemic risk: An application to the Turkish financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 203-215.
    • Handle: RePEc:eee:phsmap:v:405:y:2014:i:c:p:203-215
    DOI: 10.1016/j.physa.2014.03.006
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