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important institutions and its time variation is also presented in an interbank network. I also test for the scale-free property … of the Hungarian interbank lending network and besides, network measures as systemic risk indicators are analyzed on …
Persistent link: https://www.econbiz.de/10011579475
The pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010249740
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 considered in isolation. The reason is that banks have an...
Persistent link: https://www.econbiz.de/10012061003
This paper studies the network structure and fragmentation of the Argentine interbank market. Both the unsecured (CALL … its potential implications for monetary policy and financial stability. Applying network analysis, different underlying …
Persistent link: https://www.econbiz.de/10012802027
This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL …) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured …
Persistent link: https://www.econbiz.de/10013393419
In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The … sum of the contagion-induced losses when considering the network layers individually. In addition, a bank “systemic … importance” measure based on the multi-layered network model is developed and is shown to outperform standard network centrality …
Persistent link: https://www.econbiz.de/10010128807
network. We first provide a characterization of the unique equilibrium of banks' liquidity holdings for any network of credit … lines. Then, we endogenize the network and show that every equilibrium network is a complete coreperiphery graph. Central … accounting for banks' endogenous linking decisions, a narrower corridor may lead to a sparser interbank network with higher …
Persistent link: https://www.econbiz.de/10013440018
, we investigate the network relations based on interbank exposures in Türkiye. We estimate several network statistics and … document how the network relations have changed over the time period of 2002-2021. We find that the network structures vary … items showing the significance of covering all type of exposures in network analysis. Using network statistics, we show that …
Persistent link: https://www.econbiz.de/10013471203
We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank … distributions in general. Our application to German regulatory data from End-2016 shows that the German interbank network was at …
Persistent link: https://www.econbiz.de/10012201789
network. This survey presents a systematic overview of the recent advances in the theoretical literature on interbank networks …. We assess our current understanding of the structure of interbank networks, of how network characteristics affect … before general results on the link between the structure of the interbank network and financial stability can be established …
Persistent link: https://www.econbiz.de/10010491738