Applications of network theory to financial stability analysis: an interdisciplinary approach

ABOUT THE SPEAKER
Angelos T. Vouldis is a Principal Economist at the Monetary and Financial Statistics Division of the ECB’s Directorate General Statistics. He has a leading in role in the ECB’s work on statistics for the European banking system. He has been extensively involved in the macroprudential stress testing of the banking system of several EU countries. He also contributed to the ECB teams involved in financial assistance programmes during the 2010’s crisis episodes. He also has experience in the quantitative assessment of the linkage between nature and the economy and the large-scale empirical modelling of the economy-energy-environment nexus.Previously, he worked at the Central Bank of Greece and at E3M-Modelling. He has lectured at the National Technical University of Athens and the Panteion University of Social and Political Sciences. He has contributed to research projects funded by the EU, the European Space Agency and the energy industry.He holds a PhD in Computational Mathematics from the National Technical University of Athens and an MPhil in Economics from the University of Athens. He has published several articles in Journals such as the Journal of Financial Stability, Cambridge Journal of Economics, Journal of Banking and Finance, Annals of Operations Research, European Journal of Operational Research, Empirical Economics, Computational Economics, Review of Political Economy, etc.

ABSTRACT
The presentation will review the application of networks to analyse the transmission of risks in the financial system. Two papers will be discussed, the first focusing on the macro impact and the second on the micro level. The first features the application of an agent-based model to analyse how contagion spreads within a network of interconnected banks. The aim of this approach is to quantify the relative importance of direct and indirect transmission channels, a distinction which is important for the design of macroprudential policy. The second utilises the concept of temporal networks to analyse the dynamics of empirically constructed networks and aims to characterise individual financial institutions (i.e., network nodes), e.g., identify systemically important institutions or sectors that are sources of vulnerability or identify which nodes are sources, transmitters or receivers of financial stress. Emphasis will be placed on the interdisciplinary dimension, specifically how the above methods are related to those developed in other fields.