the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and … with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With … understand systemic risk and to assess the stability of the banking system. In extreme scenarios, the system may experience a …

This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative … terms of their equity prices, CDS spreads and expected default probabilities, while contagion across firms in both sectors … the car sector, suggesting that, at least from this perspective, banks are not special. We also investigate whether our …

The analysis of contagion in financial networks has primarily focused on transmission channels operating through direct … linkages. This paper develops a model of financial contagion in the interbank market featuring both direct and indirect … bilateral exposures, constructed manually from a supervisory dataset reported by the largest euro area banks. We find that while …

We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales …

depositors and premiums raised from banks. Premiums contribute to a deposit insurance fund that lowers taxpayers' resolution cost …

, some price and risk parameters, including the funding cost spread and the banks'probability of default. The structural …

financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a …

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking … sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … proprietary ECB datasets, including an interbank network of 26 large euro area banks as well as their overlapping portfolios of …

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to …, banks which are active in both the interbank and securities markets may channel financial distress between the two markets … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected …

, banks choose the quality and quantity of loans. On the liability side, they may be subject to depositor runs whenever they … provision and stability and also highlight the interactions between the two sides of banks' balance sheets. Our approach …