From liquidity risk to systemic risk: A use of knowledge graph

IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE
Ren-Raw Chen , Xiaohu Zhang
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引用次数: 0

Abstract

In this paper, we use knowledge graph (KG) to study systemic risk in the banking industry. KG provides a graphic representation of the connections of entities of interest (known as vertices or nodes) with the strengths of connections being reflected by the lines connecting them (known as edges) or distances between them. As a result, KG is a natural tool for visualizing the relationships among financial institutions. Furthermore, various data and graph choices can present how differently entities of interest can be connected. In this paper, we draw KGs on two datasets: liquidity index and volatility and three different embedding methods: locally linear embedding, spectral embedding and principal component analysis. Our empirical results show, not surprisingly, that volatility and liquidity index are not similar in explaining how banks are connected. Embedding methods also matter.

从流动性风险到系统性风险:知识图谱的应用
本文运用知识图谱(KG)对银行业的系统性风险进行了研究。KG提供了感兴趣的实体(称为顶点或节点)的连接的图形表示,连接的强度通过连接它们的线(称为边)或它们之间的距离来反映。因此,KG是可视化金融机构之间关系的天然工具。此外,各种数据和图形选择可以表示如何连接不同的感兴趣实体。本文在流动性指数和波动率两个数据集上绘制了KGs,并采用了三种不同的嵌入方法:局部线性嵌入、谱嵌入和主成分分析。我们的实证结果表明,波动性和流动性指数在解释银行之间的联系时并不相似,这并不奇怪。嵌入方法也很重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.70
自引率
9.30%
发文量
78
审稿时长
34 days
期刊介绍: The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.
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