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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Filling in the blanks: Network structure and interbank contagion
Anand, Kartik; Craig, Ben; von Peter, Goetz - Deutsche Bundesbank - 2014
probable links with the largest exposures consistent with the total lending and borrowing of each bank, leading to networks …
Persistent link: https://www.econbiz.de/10010957084
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Interbank tiering and money center banks
Craig, Ben R.; von Peter, Goetz - Deutsche Bundesbank - 2010
This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure...
Persistent link: https://www.econbiz.de/10008833259
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Contagious herding and endogenous network formation in financial networks
Georg, Co-Pierre - Deutsche Bundesbank - 2014
from observing the actions of peers. When the social belief is strong and the financial network is fragmented, banks follow … endogenously formed interbank networks, however, less informative signals lead to higher network density and less synchronization …
Persistent link: https://www.econbiz.de/10010957146
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The effect of the interbank network structure on contagion and common shocks
Georg, Co-Pierre - Deutsche Bundesbank - 2011
This paper proposes a dynamic multi-agent model of a banking system with central bank. Banks optimize a portfolio of … via interbank loans and face stochastic deposit supply. Evidence is provided that the central bank stabilizes interbank … markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are …
Persistent link: https://www.econbiz.de/10009372146
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The ESRB at 1
Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012
SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...
Persistent link: https://www.econbiz.de/10011711529
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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - Deutsche Bundesbank - 2014
In this paper, we report a descriptive investigation of the structural evolution of two of the most important over-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the German large credit register between 2002 and...
Persistent link: https://www.econbiz.de/10010957124
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - Deutsche Bundesbank - 2014
that can best be characterized as a shrinking of the interbank network. Such a change in the network structure is … consequential: banks with higher centrality within the network have better access to liquidity and are able to charge larger …
Persistent link: https://www.econbiz.de/10011161231
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The role of interbank relationships and liquidity needs
Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - Deutsche Bundesbank - 2013
concentration of credit relationships and the position of a bank in the network topology of the system influence the bank's ability …. When the network position of the bank is taken into account, we find that central lenders in the money market bid more … 2000 to 2008 to measure interbank relationships and the network characteristics. We match these data with the bids placed …
Persistent link: https://www.econbiz.de/10010984730
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - Deutsche Bundesbank - 2011
This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a...
Persistent link: https://www.econbiz.de/10010954914