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mounting trading losses should be anticipated. To gain more insight into the way a liquidity crisis spreads, we apply network … cut off some of their counterparts from the rest of the network, with increasingly less negligible effects; finally, only … 2-3 banks out of the 10 we identify as most interconnected within the network are currently also among the top 10 banks …
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We develop a dynamic model of interbank borrowing and lending activities in which banks are organized into clusters, and adjust their monetary reserve levels to meet prescribed capital requirements. Each bank has its own initial monetary reserve level and faces idiosyncratic risks characterized...
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interbank data to capture the size and scale of connections in the network. We proceed to shock these networks per country and …
Persistent link: https://www.econbiz.de/10013032806
theory, focusing on the unsecured overnight loans settled from 2003 to 2017. The network, where banks are the nodes and the …This paper provides an empirical network analysis of the Argentine interbank money market, commonly known as call … random network of equal size. Both indicators show values in line with those reported for other interbank networks around the …
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In mid-September 2008, following the bankruptcy of Lehman Brothers, international interbank markets froze and interbank lending beyond very short maturities virtually evaporated. Despite massive central bank support operations and purchases of key assets, many financial markets remained impaired...
Persistent link: https://www.econbiz.de/10009161745