Showing 1 - 10 of 22
We present the application of network theory to the Dutch payment system with specific attention to systemic stability …. The network nodes comprise of domestic banks, large international banks and TARGET countries, the links are established by … countries. Analysis of the properties of prominent network measures over time shows that fast network development takes place in …
Persistent link: https://www.econbiz.de/10005030216
This paper investigates the network structure of interbank markets, which has proved to be important for financial … stability during the crisis. First, we describe and map the interbank network in the Netherlands, an exception in the literature …
Persistent link: https://www.econbiz.de/10010559873
How damaging is competition between bank regulators? This paper develops a model in which both banks' risk profile and …. The paper also shows how complex balance sheet items give rise to a gradual rise in bank risk, followed by a sudden …
Persistent link: https://www.econbiz.de/10004963332
the answers of banks to a questionnaire, we estimate the exposures in the interbank market at bank level. Next, we perform … the failure of a smaller bank are limited. The exposures to foreign counterparties are large and warrant further research. …
Persistent link: https://www.econbiz.de/10005106664
bank's z -scores through the network of the interbank market. Larger dependence on interbank borrowing and lending … increases bank risk. But only interbank funding exposures to other banks in the system exhibit significant spill …-over coefficients. Spatial lags for lending are insignificant while borrowing from other banks reduces individual bank risk if neighbors …
Persistent link: https://www.econbiz.de/10008468099
This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on the unsecured interbank money market and therefore on the implementation of monetary policy. Combining two unique datasets of Dutch banks from 2005 to 2011, we show that banks which...
Persistent link: https://www.econbiz.de/10010757285
spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by …
Persistent link: https://www.econbiz.de/10010760529
This paper investigates contagion of major financial institutions by focusing on extreme stock return co-movements. Our measure of contagion within banking and insurance sectors is the number of coincidences of daily extreme returns that cannot be explained by a linear propagation model of...
Persistent link: https://www.econbiz.de/10005101914
are solvent. When one bank is insolvent, the stability of the banking system is affected in various ways depending on the … patterns of payments across locations. We investigate the ability of the banking system to withstand the insolvency of one bank … and whether the closure of one bank generates a chain reaction on the rest of the system. We analyze the coordinating role …
Persistent link: https://www.econbiz.de/10005101949
This paper investigates systemic risk in the Dutch financial sector by focusing on extreme returns of the major financial institutions. Our measure of systemic risk is the number of coincidences of extreme returns that cannot be explained by a linear model of constant correlation. By using a...
Persistent link: https://www.econbiz.de/10005106754