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Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

Persistent link: https://www.econbiz.de/10011317457

Non-Performing Loans and Systemic Risk in Financial Networks

Bottazzi, Giulio - 2020

In this paper we study the impact of non-performing loans (NPLs) on financial stability using a network based approach. We start by combining loan-level data from DealScan and firm-level data from Orbis to reconstruct the global financial network in 1991-2016 and identify a series of stylized...

Persistent link: https://www.econbiz.de/10012841372

Filling in the Blanks : Network Structure and Interbank Contagion

Anand, Kartik - 2014

The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines...

Persistent link: https://www.econbiz.de/10013047534

Filling in the Blanks : Network Structure and Interbank Contagion

Anand, Kartik - 2016

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/10012988744

Filling in the Blanks : Network Structure and Interbank Contagion

Anand, Kartik - 2014

Persistent link: https://www.econbiz.de/10013046278

CoMap: mapping contagion in the euro area banking sector

Covi, Giovanni; Gorpe, Mehmet Ziya; Kok Sørensen, … - 2019

to study contagion potential of an exogenous default shock via counterparty credit and funding risks. We construct …. Decomposing the results into the respective contributions of credit and funding shocks provides insights to the nature of …

Persistent link: https://www.econbiz.de/10011959290

Relationship lending in the interbank market and the price of liquidity

Bräuning, Falk; Fecht, Falko - 2016 - This version: July 14, 2016

-the-counter interbank market, our results establish that bank-pair relationships have a significant impact on interbank credit availability … and pricing due to mitigating uncertainty about counterparty credit quality. …

Persistent link: https://www.econbiz.de/10011523828

Bank-Firm Credit Network in Japan. An Analysis of a Bipartite Network

Marotta, Luca - 2014

We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network … dynamics of changes from some specific attributes to new ones. Our empirical observations show that the credit market in Japan … of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in …

Persistent link: https://www.econbiz.de/10013050557

A network model of financial system resilience

Anand, Kartik; Gai, Prasanna; Kapadia, Sujit; Brennan, Simon - 2012

Persistent link: https://www.econbiz.de/10009619091

Harmonic distances, centralities and systemic stability in heterogeneous interbank networks

Fukker, Gábor - In: The journal of network theory in finance 4 (2018) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10012005465