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Failure and Rescue in an Interbank Network

Rogers, L. C. G. - 2011

This paper is concerned with systemic risk in the interbank market. We model this market as a directed graph in which the banks represent the nodes and the liabilities between the banks represent the edges. Our work builds on the modelling paradigm of Eisenberg and Noe (2001, Management Science,...

Persistent link: https://www.econbiz.de/10013120163

Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper

Pausch, Thilo - 2013 - First draft

The industrial organization approach to banking is extended to analyze the effects of interbank market activity and regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction between credit risk and liquidity risk of banks. This...

Persistent link: https://www.econbiz.de/10010344667

The optimal bailout policy in an interbank network

Sim, Khai Zhi - In: Economics letters 216 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10013448418

Portfolio Compression in Financial Networks : Incentives and Systemic Risk

Schuldenzucker, Steffen - 2020

We study portfolio compression, a procedure that removes cycles of liabilities in a financial network. We analyze the … all banks. Regarding incentives, compression may be detrimental for an involved bank. We analyze which network structures …

Persistent link: https://www.econbiz.de/10012852728

Regulation, Financial Networks, and Systemic Risks

Li, Xiaoxi; Wang, Gang - 2022

requirement with the consideration of the network formed by banks and the associated systemic risk. Banks form the network … strategically and diversify their portfolios within the network in response to the regulation. Multiple equilibrium network … equilibrium strategy for banks is to form the most-risky network structure if the regulation is tighter than a threshold and form …

Persistent link: https://www.econbiz.de/10014235971

The (Un)Desired Effects of Government Bailouts : The Impact of TARP on the Interbank Market and Bank Risk-Taking

Behr, Patrick - 2019

We analyze how the inflow of liquidity through TARP funds in the wake of the 2007/2008 financial crisis impacted banks' interbank market activity. We show that TARP banks increased interbank market activity statistically and economically in a very significant way. Their interbank lending...

Persistent link: https://www.econbiz.de/10012899090

Bank-sovereign ties against interbank market integration : the case of the Italian segment

Saroyan, Susanna; Popoyan, Lilit - 2017

This paper investigates interbank market fragmentation that results from the bank-sovereign risk nexus. We focus on the Italian market fragmentation during the post-Lehman and sovereign debt crisis era. By using Italian bank and GIPSI country CDS spread changes, we suggest a new measure of...

Persistent link: https://www.econbiz.de/10011583241

Capital and resolution policies : the US interbank market

Capponi, Agostino; Dooley, John M.; Oet, Mikhail V.; … - In: Journal of financial stability 30 (2017), pp. 229-239

Persistent link: https://www.econbiz.de/10011825608

Understanding the shift from micro to macro-prudential thinking : a discursive network analysis

Thiemann, Matthias; Aldegwy, Mohamed; Ibrocevic, Edin - 2016

on endogenously created systemic risk have only gained prominence post-crisis. Employing discourse and network analysis …

Persistent link: https://www.econbiz.de/10011473559

Comment on network reactions to banking regulations by Selman Erol and Guillermo Ordonez

Farboodi, Maryam - In: Journal of monetary economics 89 (2017), pp. 68-70

Persistent link: https://www.econbiz.de/10011799191