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In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete.We show that techniques such as Maximum Entropy currently used to reconstruct credit networks severely underestimate the risk of...
Persistent link: https://www.econbiz.de/10013120038
The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/8. Combining insights from the literature on global games and network growth, we develop a simple model that sheds light on how network topology interacts with the funding structure of financial...
Persistent link: https://www.econbiz.de/10010281500
The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/8. Combining insights from the literature on global games and network growth, we develop a simple model that sheds light on how network topology interacts with the funding structure of financial...
Persistent link: https://www.econbiz.de/10013134176
The breakdown of short-term funding markets was a key feature of the global financial crisis of 2007/8. Combining insights from the literature on global games and network growth, we develop a simple model that sheds light on how network topology interacts with the funding structure of financial...
Persistent link: https://www.econbiz.de/10009266874
Persistent link: https://www.econbiz.de/10009634280