Sever, Can - Volkswirtschaftliche Fakultät, … - 2014
In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of … endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and … liquidity level and distribution on crisis. As well as aggregate and idiosyncratic shocks, by considering possible correlations …