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DebtRank: A microscopic foundation for shock propagation

Overview of attention for article published in PLoS ONE, June 2015
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About this Attention Score

  • Good Attention Score compared to outputs of the same age (66th percentile)
  • Above-average Attention Score compared to outputs of the same age and source (64th percentile)

Mentioned by

twitter
5 tweeters

Citations

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26 Dimensions

Readers on

mendeley
52 Mendeley
Title
DebtRank: A microscopic foundation for shock propagation
Published in
PLoS ONE, June 2015
DOI 10.1371/journal.pone.0130406
Pubmed ID
Authors

Marco Bardoscia, Stefano Battiston, Fabio Caccioli, Guido Caldarelli, Matjaz Perc

Abstract

The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical "microscopic" theory of instability for financial networks by iterating balance sheet identities of individual banks and by assuming a simple rule for the transfer of shocks from borrowers to lenders. By doing so, we generalise the DebtRank formulation, both providing an interpretation of the effective dynamics in terms of basic accounting principles and preventing the underestimation of losses on certain network topologies. Depending on the structure of the interbank leverage matrix the dynamics is either stable, in which case the asymptotic state can be computed analytically, or unstable, meaning that at least one bank will default. We apply this framework to a dataset of the top listed European banks in the period 2008-2013. We find that network effects can generate an amplification of exogenous shocks of a factor ranging between three (in normal periods) and six (during the crisis) when we stress the system with a 0.5% shock on external (i.e. non-interbank) assets for all banks.

Twitter Demographics

The data shown below were collected from the profiles of 5 tweeters who shared this research output. Click here to find out more about how the information was compiled.

Mendeley readers

The data shown below were compiled from readership statistics for 52 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Italy 3 6%
Switzerland 2 4%
Spain 1 2%
Germany 1 2%
United States 1 2%
Unknown 44 85%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 18 35%
Researcher 11 21%
Professor 4 8%
Unspecified 4 8%
Student > Bachelor 3 6%
Other 12 23%
Readers by discipline Count As %
Economics, Econometrics and Finance 24 46%
Unspecified 8 15%
Physics and Astronomy 5 10%
Social Sciences 4 8%
Mathematics 3 6%
Other 8 15%

Attention Score in Context

This research output has an Altmetric Attention Score of 3. This is our high-level measure of the quality and quantity of online attention that it has received. This Attention Score, as well as the ranking and number of research outputs shown below, was calculated when the research output was last mentioned on 04 November 2015.
All research outputs
#5,724,137
of 11,393,001 outputs
Outputs from PLoS ONE
#49,505
of 126,499 outputs
Outputs of similar age
#78,428
of 233,307 outputs
Outputs of similar age from PLoS ONE
#2,227
of 6,336 outputs
Altmetric has tracked 11,393,001 research outputs across all sources so far. This one is in the 49th percentile – i.e., 49% of other outputs scored the same or lower than it.
So far Altmetric has tracked 126,499 research outputs from this source. They typically receive a lot more attention than average, with a mean Attention Score of 11.4. This one has gotten more attention than average, scoring higher than 60% of its peers.
Older research outputs will score higher simply because they've had more time to accumulate mentions. To account for age we can compare this Altmetric Attention Score to the 233,307 tracked outputs that were published within six weeks on either side of this one in any source. This one has gotten more attention than average, scoring higher than 66% of its contemporaries.
We're also able to compare this research output to 6,336 others from the same source and published within six weeks on either side of this one. This one has gotten more attention than average, scoring higher than 64% of its contemporaries.