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Minesso, Massimo Ferrari - 2022

In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With this model it is possible to study how contagion...

Persistent link: https://www.econbiz.de/10014239366

Assessment of The Resilience of The EMCCA Banking System To Cascade Contagion : An Approach Based on Network Theory

Pamphile, Mezui Mbeng; Ngoufack, Francoise - 2022

and amplified by the 2014 oil shock for some economies. This paper shows through empirical analysis using network theory …

Persistent link: https://www.econbiz.de/10013403826

On bank return and volatility spillovers : identifying transmitters and receivers during crisis periods

Apostolakis, George N.; Floros, Christos; Giannellis, … - In: International review of economics & finance : IREF 82 (2022), pp. 156-176

Persistent link: https://www.econbiz.de/10013542907

Banks of a feather : the informational advantage of being alike

Bednarek, Peter; Dinger, Valeriya; Schultz, Alison; … - 2023 - March 16, 2023

supervisory data on the quality of banks’ loan portfolio, we show that a similar portfolio of the lending and borrowing bank helps …

Persistent link: https://www.econbiz.de/10014320321

Effects of mergers on network models of the financial system

Nevermann, Daniel; Heckmann, Lotta - In: International review of financial analysis 90 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014468674

Bank resolution mechanisms revisited : towards a new era of restructuring

Hryckiewicz, Aneta; Kryg, Natalia; Tsomocos, Dimitrios P. - In: Journal of financial stability 67 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014455498

Measuring the systemic risk in indirect financial networks

Cao, Jie; Wen, Fenghua; Stanley, H. Eugene - In: The European journal of finance 28 (2022) 11, pp. 1053-1098

Persistent link: https://www.econbiz.de/10013373362

Interbank network as a channel of credit contagion in banks : is moral hazard transferable?

Jović, Željko; Đaković, Milena Lutovac - In: Journal of central banking theory and practice 11 (2022) 3, pp. 117-135

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk … banking network channel. There were different models of bank behaviour, from a group of banks that fully aligned their risk …

Persistent link: https://www.econbiz.de/10013407507

Konzentrationsrisiken in Kreditportfolios

Winterfeldt, Birker - 2008

Persistent link: https://www.econbiz.de/10014009601

Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model

Andrieş, Alin Marius; Galasan, Elena - In: Risks : open access journal 8 (2020) 1/5, pp. 1-20

In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with respect to their size, geographical position, income sources, and systemic importance for the period from 2006 to 2016, using a state-dependent sensitivity value-at-risk model,...

Persistent link: https://www.econbiz.de/10012204323