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Bargigli, Leonardo; Gallegati, Mauro - 2012

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/10009611459

A model of the topology of the bank-firm credit network and its role as channel of contagion

Lux, Thomas - 2014

This paper proposes a stochastic model of a bipartite credit network between banks and the non-bank corporate sector … number of loans seems fuzzy. Distinguishing between contagion due to interbank credit and due to joint exposures to …

Persistent link: https://www.econbiz.de/10010394343

Shock propagation in the banking system with real economy feedback

Borsos, Andras; Mero, Bence - 2020

In this paper we develop a model of shock propagation in the banking system with feedback channels towards the real economy. Our framework incorporates the interactions between the network of banks (exhibiting contagion mechanisms among them) and the network of firms (transmitting shocks to each...

Persistent link: https://www.econbiz.de/10012319121

Monetary policy implementation in an interbank network : effects on systemic risk

Bluhm, Marcel; Faia, Ester; Krahnen, Jan Pieter - 2014

This paper makes a conceptual contribution to the e ffect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary policy interventions on systemic risk. Banks choose their portfolio,...

Persistent link: https://www.econbiz.de/10010337579

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 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/10011774690

Bank networks : contagion, systemic risk and prudential policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - 2015 - This Draft: July 2015

Persistent link: https://www.econbiz.de/10012061674

A model of the topology of the bank : firm credit network and its role as channel of contagion

Lux, Thomas - 2014

Persistent link: https://www.econbiz.de/10010407492

Contagious defaults in inter-bank networks

Elminejad, Mohammad Ali - 2018

This paper investigates systemic risk and contagion processes in the inter-bank network using network science methods. The inter-bank network consisting 10 banks, similar to the real world inter-bank networks, is studied to understand the contagion process in the network regarding changes in the...

Persistent link: https://www.econbiz.de/10011949714

Filling in the blanks : network structure and interbank contagion

Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014

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

Multi-layered interbank model for assessing systemic risk

Montagna, Mattia; Kok Sørensen, Christoffer - 2013

In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the paper is that there are non-negligible...

Persistent link: https://www.econbiz.de/10010128807