23 September 2017

Sebastian Poledna participated in Conference on Complex Systems 2017

Conference on Complex Systems 2017 took place in Cancun, Mexico on 17-22 September, 2017. Participants of the conference discussed how the scientific study of complex systems can offer a method for understanding how elements interactions give rise to global properties, while at the same time these properties constrain elements.

Sebastian Poledna gave a talk on "Quantification of systemic risk from overlapping portfolios in Mexico" and a talk on "Economic Forecasting with an Agent-based Model".

Quantification of systemic risk from overlapping portfolios in Mexico

Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function, and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial institutions mediated by financial markets. This indirect interconnection occurs when financial institutions invest in common assets and is referred to as overlapping portfolios. In this work we quantify systemic risk from overlapping portfolios. Having complete information of security holdings of major Mexican financial intermediaries and the ability to uniquely identify securities in their portfolios allows us to represent the Mexican financial system as a bipartite network of securities and financial institutions. This makes it possible to quantify systemic risk arising from overlapping portfolios. We show that focusing only on direct exposures underestimates total systemic risk levels by up to 50%. By representing the financial system as a multi-layer network of direct exposures (default contagion) and indirect exposures (overlapping portfolios) we estimate the mutual influence of different channels of contagion. The method presented here is the first objective data-driven quantification of systemic risk on national scales that includes overlapping portfolios.

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Last edited: 30 October 2017


Sebastian Poledna

Research Scholar

Risk and Resilience

Advanced Systems Analysis

T +43(0) 2236 807 261

Conference on Complex Systems 2017

Systemic Risk and Network Dynamics

Cross-cutting project

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313