To avoid illiquidity spillovers and basis risk in swaps, interbank lenders are especially cautious about whether … interbank borrowers can meet their claims. This paper is about examining whether the incentive of interbank lenders to penalize … risky borrowers can reduce the liquidity risk-taking of borrowers. We find that interbank borrowers, especially small and …

The objective of this research is to examine the inter-bank network of clients as a channel for credit risk … groups of banks have experienced increase in NPLs through the channel of contagion spread in the interbank network. The …

The risk premium contained in the interest rates on three-month interbank deposits at large, internationally active … and risk premia in the money market, as well as the reaction of the interbank markets to central bank liquidity provisions …

collateral. We find that re-use was most popular prior to the financial crisis, when roughly 10% of the outstanding interbank …This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a … volume was based on re-used collateral. Furthermore, we show that re-use increases with the scarcity of collateral. By giving …

crisis ; Interbank market ; Liquidity ; Credit risk ; Collateral …We study the functioning of secured and unsecured interbank markets in the presence of credit risk. The model generates … secured and unsecured markets following an adverse shock to credit risk. The scarcity of underlying collateral may amplify the …

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on … collateral that they pledge. The premium in corporate loan markets amounts to 25 basis points. Our results imply that liquidation … value contains a component at the borrower-collateral level, and that lenders monitor and price-in the interdependency …