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A network analysis of the evolution of the German interbank market
Roukny, Tarik; Georg, Co-Pierre; Battiston, Stefano - 2014
-the-counter markets for liquidity in Germany: the interbank market for credit and for derivatives. We use end-of-quarter data from the …
Persistent link: https://www.econbiz.de/10010405454
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Interbank risk assessment : a simulation approach
Jager, Maximilian; Siemsen, Thomas; Vilsmeier, Johannes - 2020
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank losses. Based on those distributions we propose measures for (i) systemic importance of single banks, (ii) vulnerability of single banks, and (iii) vulnerability of the whole...
Persistent link: https://www.econbiz.de/10012201789
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The role of interbank relationships and liquidity needs
Craig, Ben R.; Fecht, Falko; Tümer-Alkan, Günseli - 2013
operations. These findings suggest that incentives to diversify bank liquidity risk dominate the benefits of private information …In this paper, we focus on the interconnectedness of banks and the price they pay for liquidity. We assess how the … to meet its liquidity demand. We use quarterly data of bilateral interbank credit exposures between all German banks from …
Persistent link: https://www.econbiz.de/10010238510
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Interbank intermediation
Bluhm, Marcel; Georg, Co-Pierre; Krahnen, Jan Pieter - 2016
macroeconomic risk factor. Overall our findings lend support to a theory of banking that involves leverage stacks, i …
Persistent link: https://www.econbiz.de/10011483090
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Optimal liquidity control and systemic risk in an interbank network with liquidity shocks and regime-dependent interconnectedness
Chotipong Charoensom; Thaisiri Watewai - 2022
Persistent link: https://www.econbiz.de/10013259623
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Collateral value and forbearance lending
Chen, Nan-kuang (contributor); Chu, Hsiao-lei (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001925490
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The aggregate consequences of default risk : evidence from firm-level data
Besley, Timothy; Roland, Isabelle; Van Reenen, John - 2020
Persistent link: https://www.econbiz.de/10012196328
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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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Identifying empty creditors with a shock and micro-data
Degryse, Hans; Gündüz, Yalın; O'Flynn, Kuchulain; … - 2021
financially safer firms are less affected by empty creditors. Banks that are not capital constrained and that are liquidity …
Persistent link: https://www.econbiz.de/10012697959