Networked relationships in the e-MID interbank market: a trading model with memory

DOI10.1016/j.jedc.2014.08.016zbMath1402.91953arXiv1403.3638OpenAlexW2138856702MaRDI QIDQ1623966

Y. Aharonov

Publication date: 15 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3638

zbMATH Keywords

network formationinterbank marketJava/Masonstatistically validated networks

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (10)

Constructing banking networks under decreasing costs of link formation ⋮ The role of bank relationships in the interbank market ⋮ Systemic risk contagion in reconstructed financial credit network within banking and firm sectors on DebtRank based model ⋮ Intermediaries' substitutability and financial network resilience: a hyperstructure approach ⋮ Double-layer network model of bank-enterprise counterparty credit risk contagion ⋮ A statistical test of Walrasian equilibrium by means of complex networks theory ⋮ Disentangling bipartite and core-periphery structure in financial networks ⋮ Reconstructing and stress testing credit networks ⋮ A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

Uses Software

• FANMOD
• MASON

Cites Work

• Unnamed Item
• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• A network analysis of the Italian overnight money market
• Network models and financial stability
• The role of bank relationships in the interbank market
• Contagion and risk-sharing on the inter-bank market
• The formation of networks with transfers among players
• Assessing interbank contagion using simulated networks
• Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes
• Structural holes in social networks
• Farsighted network formation
• A strategic model of social and economic networks
• Contagion in financial networks
• Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
• Network topology of the interbank market
• The multiplex structure of interbank networks
• Quantifying preferential trading in the e-MID interbank market

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