Networks under stress - FAS.research · 2019. 12. 13. · Networks under Stress . On Structural...

© FAS.research 2013

Networks under Stress

On Structural Changes in Syndicated Loan Networks as a Consequence of Crises

21.06.2013 1

Harald Katzmair, FAS.research

Christian Gulas, FAS.research

Jakob Müllner, Vienna University of Economics and Business , Institute for Export Management

markus

FASresearch


Questions

How do social systems react under stress

(overflow or decline of resources) or rise in

insecurity?

How do they change their morphology?

How does this change impact the adaptive

capacity and performance?

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Buzz Holling´s Adaptive Cycle

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H.T. Odums Paradigm of „Pulsing“

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Informed (determined)

capacity (efficiency)

Uninformed,

uncommitted capacity

(flexibility)

Robert E. Ulanowicz

Ulanowicz´s Model of „Ascendency“

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From “Life cycle” to “Eco cycle”

6

Müller/Fath 2008

(Business) life as process of growth, stagnation, destructurization

and reorganization.

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© FAS.research 2013 21.06.2013 7

Based on Müller/Fath 2008


Network Morphologies

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Mimosa

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Crises under Consideration

2001 and 2002: Global economic recession in

consequence of the end of the dot-com boom

(March 2000), slowing economic growth and

declining prices because of oversupply,

particularly in the merchant power and

telecommunication sectors.

2008 and 2009: Global economic recession in

consequence of the bank crisis.

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Data Source

ProjectWare (Dealogic).

Includes capital market information on loans and

international projects.

Most comprehensive source for this kind of data;

used by academics and institutions such as

Harvard Business School, Bocconi University

Milano, and Bank for International Settlements etc.

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Data Base

Finance companies, industrial enterprises,

consulting firms etc. that are connected through

global investment projects.

For these projects particular project companies

are founded to minimize credit risks.

Period under consideration: 2000 - 2012

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Data Overview 2000 - 2012

Number of projects: 7.937

Number of companies: 14.505

Project amount: USD 3.468.676.142.000

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Syndicated Loan Networks

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Sponsors Offtaker

Mandated

Lead

Arranger

Supplier

Project

company Host

Government

Operator

Syndicate

participant

Builder

Syndicate

participant

Syndicate

participant

Eq

uity

Deb

t

Syndicate

participant Syndicate

participant

Supranational

institutions


Networks under Consideration

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Mandated

Lead

Arranger

Project

company

Syndicate

participant

Syndicate

participant

Syndicate

participant

Syndicate


participant

Supranational

institutions

Deb

t


Additional Project Data

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Mandated

Lead

Arranger

Project

company

Syndicate

participant

Syndicate

participant

Syndicate

participant

Syndicate


participant

Supranational

institutions

- Country

- Signing Date

- Project amount

- Country rating

- Average margin

- Run-time

- …

Deb

t


Directed Debt Networks

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Arranger

Participant

Participant

Arranger

Participant

Participant

Project

Generating directed 1-mode networks from 2-mode data.


Banks sorted by Number of Projects

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Rank Institutions Country 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 Total

1 BNP Paribas SA France 69 46 24 45 60 64 57 81 77 74 87 78 43 805

2 Sumitomo Group Japan 34 34 24 35 55 66 64 67 82 52 63 93 78 747

3 Mitsubishi Bank Ltd Japan 48 31 28 36 45 43 75 49 70 52 56 91 92 716

4 Royal Bank of Scotland Group plc United Kingdom 54 52 38 47 58 82 72 69 59 36 44 41 32 684

5 Caixa Banca, Caja de Ahorros Spain 27 26 18 21 38 55 58 62 88 90 93 69 23 668

6 WestLB Germany 66 63 31 46 31 71 47 47 55 47 50 54 8 616

7 ING Group Netherlands 45 29 25 45 40 44 44 44 81 42 57 75 33 604

8 Banco Bilbao Spain 21 21 9 26 36 45 46 43 84 59 74 60 49 573

9 Mizuho Financial Group Inc Japan 2 13 23 29 37 66 82 65 44 36 39 62 63 561

10 Societe Generale France 43 25 21 29 30 28 42 49 47 59 68 70 38 549

11 Dexia Belgium 24 28 30 33 40 49 43 72 77 41 58 38 5 538

12 Banco Santander Spain 25 14 2 12 25 26 41 42 46 82 78 76 39 508

13 Citibank International plc United States Of America 86 57 40 23 44 44 42 30 18 19 21 25 26 475

14 Barclays Bank plc United Kingdom 63 29 29 33 30 43 28 35 21 37 48 26 24 446

15 HSBC United Kingdom 27 14 23 22 27 37 33 30 39 35 41 47 54 429

16 Fortis Bank AS Turkey 58 24 21 27 31 46 45 56 64 22 5 0 3 402

17 HVB Group Germany 89 53 34 24 47 52 35 20 10 9 1 0 0 374

18 Calyon France 0 0 1 0 31 82 75 39 53 83 2 1 0 367

19 Bayerische Landesbank Germany 56 21 17 26 18 40 32 37 22 20 25 25 20 359

20 ABN AMRO Bank NV Netherlands 87 38 29 30 38 40 28 27 0 1 8 7 5 338

21 KfW Bankengruppe - KfW Germany 22 14 11 25 27 30 22 23 42 28 27 42 25 338

22 Standard Chartered Bank United Kingdom 16 8 7 6 17 26 34 28 35 34 35 44 24 314

23 UniCredit Group Italy 24 8 7 6 12 16 5 21 27 28 60 54 32 300

24 KBC Bank NV Belgium 52 27 23 24 24 30 26 32 29 12 12 6 2 299

25 Commonwealth Bank of Australia Australia 19 8 9 25 17 28 38 20 30 24 19 37 22 296

Debt, period 2000 - 2012


Syndicated Loan Network 2000

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Core Cluster

N = 329 (out of 580)

© FAS.research 2013 21.06.2013 20

Syndicated Loan Network 2012

Core Cluster

N = 182 (out of 568)


Total Project Amount

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Total Project Amount (Billion USD)

N = 7.939 projects (out of 8.771; 9,5% missing)

-43%

-42%

-13%


Development of network density

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Network density (percent)

Density: observed ties divided by the number of possible ties.

N = 2.248 companies

-43%

-42%

Decrease of links


Development of average degree

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Average number of partners

Degree: Number of actors to which an actor is connected.

N = 2.248 companies

-43%

-38%

Fewer

partners


3-rings over time

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Clustering: average number of „common neighbours“ (triadic relationships)

N = 2.248 companies

-38,5%

-30,6%

Triadic

relationships


Fragmentation over time

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Fragmentation Index

Fragmentation Index: extent to which a network is disconnected.

N = 2.248 companies

+13,5%

+7,6%

Disconnected components


Gini coefficient of degree distribution

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Gini coefficient of degree distribution

Gini coefficient: inequality among the values of the degree distribution.

N = 2.248 companies

+11%

+5%


Gini coefficient of weighted degree

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Gini coefficient of weighted degree

Gini coefficient: inequality among the values of weighted degree.

Weighted degree: number of projects through which companies are connected to each other.

N = 2.248 companies

+6,3%

+4,7%


Degree correlation over time (Hub Assortativity)

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Degree correlation

Degree correlation between connected nodes: The higher degree correlation the higher the connectedness of hubs.

N = 2.248 companies

+62%

+62%

Connectedness

of hubs


Number of cycles over time

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Number of cyclic triads per total number of arcs

N = 2.248 companies

- 38,4%

- 21,8%

- 41%


Amount of symmetric relationships (reciprocity)

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- 8,3%

N = 2.248 companies

Symmetric ties in percent of all ties

- 21,5%


Maturity of credits

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Average maturity in years

N = 8. 771 projects with 22.458 tranches

Duration for 7.730 tranches missing (34,4%)

-5,5%

-5,8%


Development of average margin

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Average margin (basis points)

100 basis points = 1%

Average margin = risk premium that is added to current reference rate of credits


Average margin for 16.023 tranches missing (71,3%)

+75%


Average margin without project maturity

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100 basis points = 1%

Average margin = risk premium that is added to current reference rate of credits


Average margin for 16.023 tranches missing (71,3%)

Average of margin divided by maturity.

+99%


Network overview

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Year Companies Relations

2000 580 9.173

2001 468 6.028

2002 456 3.332

2003 500 3.637

2004 561 4.109

2005 511 3.834

2006 507 2.906

2007 553 2.982

2008 559 3.829

2009 603 2.574

2010 594 2.328

2011 626 4.269

2012 568 2.401


Percentages of companies regarding continents

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Asia

Europe

North America

Africa South America Australia Middle America

Percentages

N = 2.248

Global recession

Bank crisis


Participation of countries 2000 - 2012

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Average increase of project number per year.

N = 8.771 projects


Network changes under conditions of crises - Tendencies

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Category Indicator In crises

Flow Total project amount -

Cohesion Network density -

Cohesion Average degree -

Cohesion 3-rings -

Cohesion Fragmentation +

Centralization Gini coefficient of degree distribution +

Centralization Gini coefficient of weighted degree +

Centralization Degree correlation +

Hierachization Number of cyclic triads -

Hierachization Reciprocity -

Risk & trust Maturity of credits -

Risk & trust Average margin +


Network Morphologies

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Summary

The price to pay for less systemic risk is a turn

towards deal relationships, hierarchization and

increase of mistrust.

Zero systemic risk would be a state where nobody

is connected at all.

Vulnerability and cascade effects are an immanent

feature of complex, folded networks.

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Thank you!

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Harald Katzmair, FAS.research [email protected]

Christian Gulas, FAS.research [email protected]

Jakob Müllner, Vienna University of Economics and Business [email protected]

Networks under stress - FAS.research · 2019. 12. 13. · Networks under Stress . On Structural...

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