About this Research Topic
Financial and credit risk spillovers, which showed their disruptive impact during the recent crises, originate from interconnections between companies, markets, and countries, acting as contagion channels to the so-called “systemic risk”. Systemic risk has received particular attention from policymakers, industry, and academia since the Great Financial Crisis. Regulatory measures to address the risk of systemic crises were introduced both at the supranational and national levels. The financial turmoil of 2008-2009 also stimulated a rich stream of studies, although the notion of systemic risk has been known for around 35 years now. The existence of networks in financial markets can be a positive factor, but it also can act as a driving force of contagion through the system. For example, highly connected interbank networks can resist external shocks, except when there are large shocks. In this case, networks can act as the driver of the failure of network participants.
The interest in systemic risk and the way financial networks might affect contagion risk has been further stimulated by the digitalization of financial markets. The large growth of innovative financial technologies or “Fintech” (such as P2P online lending), especially in the credit market, disintermediates the links between borrowers and lenders, contributing to an increased interconnectedness with respect to the traditional banking system. Besides, in the financial markets, the usage of cryptocurrencies is widely spreading in the last few years, giving rise to new potential spillovers. At the macroeconomic level, researchers have recently proposed correlation networks to address the multivariate nature of systemic risk. At the microeconomic level, including centrality measures (summarizing a company’s position in its commercial or financial network) in credit scoring models significantly increases the accuracy of default prediction.
We encourage submissions that explore the issue of financial contagion and systemic risk from many perspectives. Subtopics of particular interest are:
• methodologies and applications for modeling interconnectedness on credit and financial markets;
• studies with a regulatory or supervisory perspective;
• microeconomic studies analyzing the way banks and other financial institutions or investors measure and consider systemic risk when making investment decisions or defining their strategies;
• contributions employing artificial intelligence techniques or applying more traditional models to the Fintech context.
Specifically, the main questions to be addressed are the following:
• How can network models contribute to assessing risks that arise from increased interconnectedness related to the spread of financial technologies?
• How to use big data and artificial intelligence to build predictive financial network models?
• How can the new methodologies be effectively used by financial supervisors and private institutions to improve risk measurement and management?
This Research Topic aims at selecting high-quality papers focusing on the above topics, with original, unpublished research of a potentially high-impact in the field of AI, banking, finance, and statistical modeling.
Keywords: Systemic Risk, Fintech, Financial Contagion, AI in Finance, Statistical Modeling
Important Note: All contributions to this Research Topic must be within the scope of the section and journal to which they are submitted, as defined in their mission statements. Frontiers reserves the right to guide an out-of-scope manuscript to a more suitable section or journal at any stage of peer review.