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This paper studies systemic risk and the scale of systemic breakdown in the frequently observed tiered banking system. The banking network is constructed from a number of banks which are linked by interbank exposures with a certain predefined probability. In this framework, the tiered structure...
Persistent link: https://www.econbiz.de/10008532025
The breakdown of the interbank money markets in the face of the recent financial crisis has forced central banks and governments to take extraordinary measures to sustain financial stability. In this paper we investigate which influence central bank activity has on interbank markets. In our...
Persistent link: https://www.econbiz.de/10008493738
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk. In this paper, we propose a simplified formula to price bank’s corporate loans, aiming at making bank...
Persistent link: https://www.econbiz.de/10005419677
This paper integrates the literature of Mortgage Design with that of Rotating Savings and Credit Associations (ROSCAs) to present a novel way of mortgage financing (with a zero interest rate) using cooperatives. This mode of financing dissipates credit (default) risk better than the normal mode...
Persistent link: https://www.econbiz.de/10005537389
Persistent link: https://www.econbiz.de/10005113651
This paper was refined during my sabbatical study at James Madison University (JMU). I appreciate the hospitality of JMU particularly that of Ehsan Ahmed. I have benefited from the critical comments of the participants of the seminars at James Madison University; University of Birmingham;...
Persistent link: https://www.econbiz.de/10005163435
This paper considers the stability of a financial system in which heterogenous banks interact through a lending market. We analyse a discrete time model in which households and banks are located on a circular city. Households present banks with risky investment opportunities, which banks fund...
Persistent link: https://www.econbiz.de/10008690906
This paper assesses the impact of a certain structure of interbank exposures on the stability of a stylized financial system. Given a certain balance sheet structure of financial institutions, a large number of valid matrices of interbank exposures is created by a random generator. Assuming a...
Persistent link: https://www.econbiz.de/10008695023
Este documento estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los...
Persistent link: https://www.econbiz.de/10008727635
Este documento estudia la estabilidad del sistema de pagos (SP) de alto valor en Colombia (CUD) ante el incumplimiento de una entidad sistémicamente importante, y evalúa la capacidad de respuesta de las entidades afectadas a partir de la utilización de sus recursos y a través de los...
Persistent link: https://www.econbiz.de/10008727688