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Credit risk in interbank networks
Hoffmann De Quadros, Vanessa; González-Avella, Juan Carlos - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 27-41
Persistent link: https://www.econbiz.de/10011561382
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Interbank lending and the spread of bank failures : a network model of systemic risk
Krause, Andreas; Giansante, Simone - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 583-608
Persistent link: https://www.econbiz.de/10009697989
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The systemic risk of cross-border banking : evidence from the sudden stop and interbank stress contagion in East Asia
Le, Chau; Dickinson, David G. - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 237-254
Persistent link: https://www.econbiz.de/10011562440
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Systemic Risk in Interbanking Networks
Bo, Lijun - 2016
We develop a mean field model of interbanking borrowing and lending activities. Each bank borrows from or lends to other counterparties at an idiosyncratic rate, and is exposed to sudden shocks affecting the level of its monetary reserves. Using weak convergence analysis, we provide an explicit...
Persistent link: https://www.econbiz.de/10013004973
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Assessing systemic risk using interbank exposures in the global banking system
Kanno, Masayasu - In: Journal of financial stability 20 (2015), pp. 105-130
Persistent link: https://www.econbiz.de/10011574291
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Measuring systemic risk in the global banking sector : a cross-quantilogram network approach
Baumöhl, Eduard; Bouri, Elie; Hoang, Thi Hong Van; … - In: Economic modelling 109 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013348234
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Systemic risk in interbank markets
Georg, Pierre Georg - 2011
Das Ziel der vorliegenden Dissertation ist es, ein besseres Verständnis von systemischen Risiken auf Interbankenmärkten zu entwickeln. Die Bedeutung systemischer Risiken für die Stabilität des gesamten Finanzsystems ist durch die internationale Finanzkrise der Jahre 2007/2008 deutlich...
Persistent link: https://www.econbiz.de/10009529886
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Systemic risk in the Angolan interbank payment system : a network approach
Borges, Maria Rosa; Ulica, Lauriano; Gubareva, Mariya - In: Applied economics 52 (2020) 45, pp. 4900-4912
Persistent link: https://www.econbiz.de/10012306516
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Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; … - 2017
Persistent link: https://www.econbiz.de/10011708539
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Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities
Feinstein, Zachary - 2017
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a … financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in … is rarely available. As a result, the clearing vector may suffer from estimation errors in the liabilities matrix. We …
Persistent link: https://www.econbiz.de/10012948255