The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks. Despite the limited number of operational events, benchmarks can be established. For example, the effect of a partial outage at...

The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that...

In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...

In this paper the authors focus on credit connections as a potential source of systemic risk. In particular, they seek to answer the following question: how do we find densely connected subsets of nodes within a credit network? The question is relevant for policy, since these subsets are likely...

anking sector can have important effects on all economic units. Therefore stability of the banking sector is important for every economy. In the Czech Republic the banking sector has undergone profound changes after 1989. This study aims to develop a stability model for the banking sector in the...

The paper provides results of research concerning identification of strategic groups in the Polish banking sector and tests of the usefulness of these groups in the assessment of financial stability. The theory of strategic groups predicts the existence of stable groups of companies, stemming...

Logistic regressions are commonly used to assess for fair lending across groups of loan applicants. This paper considers estimation of the disparate treatment parameter when the sample is stratified jointly by loan outcome and race covariate. We use Monte Carlo analysis to investigate the...

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

We employ a regime-switching approach to the identification of banking crises. This approach reduces the arbitrariness in crisis identification by endogenizing the choices of crisis threshold and crisis duration. Using a sample of 47 countries, we show that this approach also subject to several...

The author uses a quantitative network analysis approach to assess how participants in the Large Value Transfer System (LVTS) respond to partial outages at other banks. Despite the limited number of operational events, benchmarks can be established. For example, the effect of a partial outage at...