concentration of credit relationships and the position of a bank in the network topology of the system influence the bank’s ability … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …

Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data … the period 2003-2011 yields the following results: (i) Beyond the nationwide credit loss rate, industry composition, and … regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The …

joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to … significantly lower for connected banks. -- Extreme Value Theory ; CDS Spreads ; Systemic Institutions ; Network Stability …

Banks lend more to banks that are similar to them. Using data from the German credit register and proprietary … portfolio, which do not obtain credit from dissimilar peers. …

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … default. In contrast, shocks are transmitted via asset devaluations and deteriorations in the credit quality in our algorithm …