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Fundamentals matter : idiosyncratic shocks and interbank relations
Bednarek, Peter; Dinger, Valeriya; Westernhagen, Natalja von - 2015
Our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due...
Persistent link: https://www.econbiz.de/10011414244
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The credit quality channel : modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
default. In contrast, shocks are transmitted via asset devaluations and deteriorations in the credit quality in our algorithm …: First, the probability of default (PD) of those banks directly affected by some shock increases. This increases the expected …
Persistent link: https://www.econbiz.de/10011381702
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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858
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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 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/10010405454
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Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021
Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So …
Persistent link: https://www.econbiz.de/10012697959
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The role of interbank relationships and liquidity needs
Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - 2013
In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the 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...
Persistent link: https://www.econbiz.de/10010238510
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Filling in the blanks : network structure and interbank contagion
Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014
The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010249740
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Credit risk interconnectedness : what does the market really know?
Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...
Persistent link: https://www.econbiz.de/10011456511
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Centrality-based capital allocations
Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10010471625
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A network view on interbank market freezes
Gabrieli, Silvia; Georg, Co-Pierre - 2014 - This version: December 2014
We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem’s payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty...
Persistent link: https://www.econbiz.de/10010471923