about their investment strategy ex-ante based on a private belief about the state of the world and a social belief formed … 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 …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the … assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of …

transactional level allows me to apply advanced panel methods. Furthermore, this paper shows liquidity hoarding during the pandemic …

We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on … secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone …

systemic risk outcomes when the true pattern of counterparty exposures is unknown. …

consequential: banks with higher centrality within the network have better access to liquidity and are able to charge larger …We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all … segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of …

resilience of financial systems based on different network models. We investigate the impact of a wide variety of model … provide a range of theoretical results highlighting the mechanisms that influence systemic risk in consolidated financial … systems. Our main finding is that merger activities can stabilize or destabilize the modelled financial network, depending on …

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank … distributions in general. Our application to German regulatory data from End-2016 shows that the German interbank network was at … that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …