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Crisis transmission: visualizing vulnerability

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Dungey, M ORCID: 0000-0003-0074-2314, Islam, R and Volkov, V ORCID: 0000-0001-9721-9700 2019 , Crisis transmission: visualizing vulnerability.

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Abstract

This paper develops a means of visualizing the vulnerability of complex systems
of financial interactions around the globe using Neural Network clustering
techniques. We show how time-varying spillover indices can be translated into two
dimensional crisis maps. The crisis maps have the advantage of showing the changing
paths of vulnerability, including the direction and extent of the effect between
source and affected markets. Using equity market data for 31 global markets over
1998-2017 we provide these crisis maps. These tools help portfolio managers and
policy makers to distinguish which of the available tools for crisis management will
be most appropriate for the form of vulnerability in play.

Item Type: Report (Discussion Paper)
Authors/Creators:Dungey, M and Islam, R and Volkov, V
Keywords: systemic risk, networks
Publisher: University of Tasmania
Copyright Information:

Copyright 2019 University of Tasmania

Additional Information:

JEL Classification numbers: C3, C32, C45, C53, D85, G10

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