We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …

financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … contagion losses and the policy authority's ability to control them depend on the assumed fire sale mechanism and the fiscal …

the tools of network analysis it is possible to study how contagion spreads between banks and what is the probability and … impact on contagion probability than real shocks that, however, are long lasting. Additionally I find that monetary policy …

for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For …

for the contagion after default of one unit (i.e. number of expected subsequent defaults, or their probabilities). For …

. We assess our current understanding of the structure of interbank networks, of how network characteristics affect … contagion in the banking system and of how banks form connections when faced with the possibility of contagion and systemic risk … interconnections, contagion processes and systemic risk, while emphasizing at the same time the challenges that must be addressed …

and assesses our current understanding of the structure of interbank networks, of how network characteristics affect … contagion in the banking system and of how banks form connections when faced with the possibility of contagion and systemic risk … interconnections, contagion processes and systemic risk, while emphasizing at the same time the challenges that must be addressed …

relationship between the sovereign-to-banks contagion risk variable and market fragmentation in rate on the e-MID interbank market …

multiple bank defaults driven by common shock exposure on asset markets, direct contagion via the interbank market, and …