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this method they provide a community description of the Japanese bank-firm credit network, getting evidence of a … comfort both from simulations and from real data on the possibility to apply community detection methods to credit markets …In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek …
Persistent link: https://www.econbiz.de/10010312011
decomposition method. To illustrate this method they provide a community description of the Japanese bank-firm credit network …In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek … to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question …
Persistent link: https://www.econbiz.de/10010310151
We examine the role of macroeconomic fluctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a financial system. Systemic instability is explored in a financial network comprising three distinct, but interconnected, sets of agents - domestic...
Persistent link: https://www.econbiz.de/10010281490
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/10010332887
We develop an agent based model of traditional banks and asset managers. Our aim is to investigate the channels of contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their impact on financial institutions' balance sheets. We...
Persistent link: https://www.econbiz.de/10011984829
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...
Persistent link: https://www.econbiz.de/10012064282
We study the interplay between two channels of interconnectedness in the banking system. The first one is a direct interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The second channel is an indirect...
Persistent link: https://www.econbiz.de/10012389534
We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to valuation losses for banks (indirect contagion), and how...
Persistent link: https://www.econbiz.de/10012661596
We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...
Persistent link: https://www.econbiz.de/10011739602
After the outbreak of the financial crisis in 2007-2008 the level of non-performing loans (NPLs) in the economy has generally increased. However, while in some countries this has been a transitory phenomenon, in others it still represents a major threat for economic recovery and financial...
Persistent link: https://www.econbiz.de/10011789711