We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank … that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

show that among the TARP banks, the ones with increased interbank exposure also increased credit risk taking, in particular …

between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were … risk averse in an environment where there is no interbank market and liquidity regulation. Introducing a buoyant interbank … money market destroys endogenous risk aversion and allows banks to manage credit risk and liquidity risk independently. The …

tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending … relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a …

shocks affecting banks’ capital, liquidity and credit quality as well as revised banklevel risk perceptions. Relationship …

and the 2010-2012 European sovereign crisis. This effect is attenuated for banks with lower credit risk, sounder capital …

This paper presents a new theory that explains why it is beneficial for banks to be highly interconnected and to engage … in herding behavior. It shows that these two important causes of systemic risk are interdependent and thus cannot be …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

To avoid illiquidity spillovers and basis risk in swaps, interbank lenders are especially cautious about whether … risky borrowers can reduce the liquidity risk-taking of borrowers. We find that interbank borrowers, especially small and …