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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
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
likelihood of contagion and the formation of prices in a double auction market experiment. Core-periphery networks are highly … network structure. In contrast, contagion is minimal on circle networks and market prices remain stable. Uncertainty on the …
Persistent link: https://www.econbiz.de/10012953055
deposits, thereby reshaping the bank networks. Using unique data on bank balance sheets and detailed interbank deposits in 1862 …
Persistent link: https://www.econbiz.de/10012902839
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
A major credit shock can induce large intra-day variation margin payments between counterparties in derivatives markets, which may force some participants to default on their payments. These payment shortfalls become amplified as they cascade through the network of exposures. Using detailed DTCC...
Persistent link: https://www.econbiz.de/10012935119
Evidence from the main Colombian payment and settlement systems verifies that local financial networks have self … performance in exchange for rare episodes of fragility but rapid evolution. Results concur with other real-world networks, and …
Persistent link: https://www.econbiz.de/10013058408
contagion in financial networks. We develop a common framework encompassing several network contagion models and show that …
Persistent link: https://www.econbiz.de/10012984330
We examine how liquidity is exchanged in different types of Colombian money market networks (i.e. secured, unsecured …, and central bank's repo networks). Our examination first measures and analyzes the centralization of money market networks … types of money market networks diverge in their centralization, and in how they balance counterparty risk and liquidity risk …
Persistent link: https://www.econbiz.de/10012994204
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