As a result of the most recent global financial crisis, literature has embraced size, connectedness and substitutability as key indicators for financial institutions' systemic importance. This paper applies Principal Components Analysis to some metrics for assessing size, connectedness and...

We assess transmission channels of systemic risk and the effects of capital regulation in the European Banking Union. Two interconnected channels of risk are analysed by employing a data-driven, heterogeneous network model. First, the risk from shocks to corporate, sovereign and retail debt...

The use of macro stress tests to assess bank solvency has developed rapidly over the past few years. This development was reinforced by the financial crisis, which resulted in substantial losses for banks and created general uncertainty about the banking sector's loss-bearing capacity. Macro...

We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect...

This paper provides an empirical network analysis of the Argentine interbank money market, commonly known as call market, based on data from the Central Bank of Argentina (BCRA). Its main topological features are described applying graph theory, focusing on the unsecured overnight loans settled...

We study systemic illiquidity using a unique dataset on banks' daily cash flows, short-term interbank funding and liquid asset buffers. Failure to roll-over short-term funding or repay obligations when they fall due generates an externality in the form of systemic illiquidity. We simulate a...

This document presents an enhanced and condensed version of preceding proposals for identifying systemically important financial institutions in Colombia. Three systemic importance metrics are implemented: (i) money market net exposures network hub centrality; (ii) large-value payment system...

In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based...

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...

Defining whether a financial institution is systemically important (or not) is challenging due to (i) the inevitability of combining complex importance criteria such as institutions´ size, connectedness and substitutability; (ii) the ambiguity of what an appropriate threshold for those criteria...