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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/10010249740
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The recent global financial crisis has triggered a huge interest in the use of network concepts and network tools to … privileged positions in the interbank network, such as via preferential lending relationships, or because of occupying a more … review is dedicated to the analysis of indirect networks, specifically (e) proximity based network, i.e. networks obtained …
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from observing the actions of peers. When the social belief is strong and the financial network is fragmented, banks follow … endogenously formed interbank networks, however, less informative signals lead to higher network density and less synchronization …
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We develop a dynamic network model whose links are governed by banks' optimizing decisions and by an endogenous … assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to …
Persistent link: https://www.econbiz.de/10010226001
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement … evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk …
Persistent link: https://www.econbiz.de/10012061026