Nuova ricerca: 'The Accounting Network: How Financial Institutions React to Systemic Crisis'

Ven, 10/14/2016 - 11:38 -- alessandro.chessa

Nuova ricerca scientifica pubblicata da Linkalab in collaborazione con IMT Scuola Alti Studi Lucca. In questo studio viene trovata una maniera innovativa di mappare i dati dei bilanci delle banche in strutture di Reti di Somiglianza, basate sulle singole voci di bialncio. Questa rete viene poi clusterizzata con tecniche di Community Detection che rivelano una classificazione che rispecchia molto a livello globale i diversi regolamenti nazionali e continentali. Queste 'Community Structure' vengono fortemente influenzate dalla crisi finanziaria del 2008.

Ecco l'abstract del paper:

The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis. Following this methodological perspective we introduce here the Accounting Network, i.e. the network we can extract through vector similarities techniques from companies’ financial statements. We build the Accounting Network on a large database of worldwide banks in the period 2001–2013, covering the onset of the global financial crisis of mid-2007. After a careful data cleaning, we apply a quality check in the construction of the network, introducing a parameter (the Quality Ratio) capable of trading off the size of the sample (coverage) and the representativeness of the financial statements (accuracy). We compute several basic network statistics and check, with the Louvain community detection algorithm, for emerging communities of banks. Remarkably enough sensible regional aggregations show up with the Japanese and the US clusters dominating the community structure, although the presence of a geographically mixed community points to a gradual convergence of banks into similar supranational practices. Finally, a Principal Component Analysis procedure reveals the main economic components that influence communities’ heterogeneity. Even using the most basic vector similarity hypotheses on the composition of the financial statements, the signature of the financial crisis clearly arises across the years around 2008. We finally discuss how the Accounting Networks can be improved to reflect the best practices in the financial statement analysis.

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