, we construct a bipartite financial network and design novel indicators to analyze the systemic risk of China’s banking … the most significant source of systemic vulnerability in China; (3) the derived contagion network shows the property of …; (4) a bank’s systemic importance/vulnerability depends on complex interaction between asset volume, leverage rate, and …

We develop a macroprudential contagion stress test framework to examine how a network of Norwegian banks can amplify a … shock to bank capital at the macro level. The framework looks at how fire sales of common asset holdings can lead to …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest …, interbank interlinkages and fire sale externalities. The resulting network configuration exhibits a core-periphery structure …

-performing loans and systemic risk using a network-based approach. In particular, we analyze how an increase in NPLs at firm level … propagates to the financial system through the network of credits and debits. To this end we develop a model with two types of …

interconnectedness, via a network of interbank loans, banks' loans to other corporate and retail clients, and securities holdings. The … supervisory data set collected by the European Central Bank that covers 26 large banks in the euro area. To assess the impact of … are reflected in a consistent way in the market value of banks' mutual liabilities through the network of obligations. We …

To date, macroprudential policy inspired by the Basel III package is applied irrespective of the network … liquidity crises emerge. We shape the configuration of the financial network to generate two polar worlds: one is characterized … network heterogeneity. Thus, capital buffers should be calibrated on the heterogeneity of the financial networks to stabilize …

this method they provide a community description of the Japanese bank-firm credit network, getting evidence of a … 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 to channel any shock affecting the network. As it turns out, a …

decomposition method. To illustrate this method they provide a community description of the Japanese bank-firm credit network … 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 to channel any shock affecting the network. As it turns out, a …

In this paper we study the impact of non-performing loans (NPLs) on financial stability using a network based approach … network in 1991-2016 and identify a series of stylized facts. We show that many regularities found at national level by the … literature hold also at international level. Based on our empirical findings, we develop a simple network model in which banks …

sum of the contagion-induced losses when considering the network layers individually. In addition, a bank “systemic …In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The … importance” measure based on the multi-layered network model is developed and is shown to outperform standard network centrality …