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Filling in the blanks : network structure and interbank contagion
Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014
realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most … probable links with the largest exposures consistent with the total lending and borrowing of each bank, leading to networks …
Persistent link: https://www.econbiz.de/10010249740
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Fire sales and ex ante valuation of systemic risk : a financial equilibrium networks approach
Bougheas, Spiros P.; Spencer, Adam Hal - 2022
We introduce endogenous fire sales into a simple network model. For any given initial distribution of shocks across the network, we develop a clearing algorithm to solve for the financial equilibrium. We then utilise the results to perform ex ante risk assessment and derive risk premia for every...
Persistent link: https://www.econbiz.de/10013457674
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Bank networks : contagion, systemic risk and prudential policy
Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015
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/10012061674
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Financial networks as a source of systemic instability
Zieliński, Tomasz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 59-68
Systemic risk is a fundamental constituent of contemporary financial systems. For the past decades a growing number of abrupt upsets in financial systems could be observed. Due to previous experiences, politicians and regulators prefer to identify the off enders outside the system or to blame...
Persistent link: https://www.econbiz.de/10011616783
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Harmonic distances and systemic stability in heterogeneous interbank networks
Fukker, Gábor - 2017
This paper investigates the effects of contagion in interbank lending networks. I introduce a new measure based on the … heterogeneous banking system. The simulation results on scale-free and complete networks do not confirm that this new distance would … averaged networks which are applied in central banking analysis. This new measure is capable of identifying systemically …
Persistent link: https://www.econbiz.de/10011579475
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CoMap: mapping contagion in the euro area banking sector
Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019
This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral...
Persistent link: https://www.econbiz.de/10011959290
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Comap : Mapping Contagion in the Euro Area Banking Sector
Covi, Giovanni - 2019
This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral...
Persistent link: https://www.econbiz.de/10012864120
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CoMap : Mapping Contagion in the Euro Area Banking Sector
Covi, Giovanni - 2019
This paper presents a novel approach to investigate and model the network of euro area banks' large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral...
Persistent link: https://www.econbiz.de/10012894738
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Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures
León, Carlos - 2014
infrastructures' single-layer networks gives an accurate picture of a financial system's true connective architecture. We examine and … compare the main properties of Colombian multiplex and interacting financial networks. Coupling financial institutions …' multiplex networks with financial market infrastructures' networks removes modularity, which augments financial instability …
Persistent link: https://www.econbiz.de/10013043291
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Financial Stability and Interacting Networks of Financial Institutions and Market Infrastructures
León, Carlos - 2014
infrastructures' single-layer networks gives an accurate picture of a financial system's true connective architecture. We examine and … compare the main properties of Colombian multiplex and interacting financial networks. Coupling financial institutions …' multiplex networks with financial market infrastructures' networks removes modularity, which enhances financial instability …
Persistent link: https://www.econbiz.de/10013046566