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A network analysis of contagion risk in the interbank market
Sachs, Angelika - 2012
Persistent link: https://www.econbiz.de/10009619965
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A multiple-curve HJM model of interbank risk
Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai Nam - In: Mathematics and financial economics 6 (2012) 3, pp. 155-190
Persistent link: https://www.econbiz.de/10009624635
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The two faces of interbank correlation
Schaeck, Klaus; Buston, Consuelo Silva; Wagner, Wolf - 2013
Persistent link: https://www.econbiz.de/10010232470
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Contagion risk in the Czech financial system : a network analysis and simulation approach
Hausenblas, Václav; Kubicová, Ivana; Lešanovská, Jitka - In: Economic systems 39 (2015) 1, pp. 156-180
Persistent link: https://www.econbiz.de/10011527449
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Does the bank risk concentration freeze the interbank system?
Lucchetta, Marcella - In: The North American journal of economics and finance : a … 33 (2015), pp. 149-166
Persistent link: https://www.econbiz.de/10011534904
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Bank risk premia and abenomics : the return of the Japan premium in the cross-currency swap market
Shabani, Mimoza; Stenfors, Alexis; Toporowski, Jan - 2016
Persistent link: https://www.econbiz.de/10011456787
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The shocks in the interbank market : an analysis of China and the US
Fei, Ziwei; Jiang, Xiaoquan; Zeng, Li; Peng, Jiangang - In: Asia-Pacific journal of financial studies 44 (2015) 6, pp. 877-898
Persistent link: https://www.econbiz.de/10011471117
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Market discipline and liquidity risk : evidence from the interbank funds market
Sarmiento, Miguel - 2016
This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks pay higher prices and borrow less liquidity, concurrent...
Persistent link: https://www.econbiz.de/10011554714
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Credit risk in interbank networks
Hoffmann De Quadros, Vanessa; González-Avella, Juan Carlos - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 27-41
Persistent link: https://www.econbiz.de/10011561382
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The systemic risk of cross-border banking : evidence from the sudden stop and interbank stress contagion in East Asia
Le, Chau; Dickinson, David G. - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 237-254
Persistent link: https://www.econbiz.de/10011562440