Contagion and risk-sharing on the inter-bank market

DOI10.1016/j.jedc.2013.03.009zbMath1402.91850OpenAlexW1999150911MaRDI QIDQ1994269

Daniel Ladley

Publication date: 1 November 2018

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.03.009

zbMATH Keywords

networkregulationcontagionsystemic riskinter-bank lending

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (16)

Networked relationships in the e-MID interbank market: a trading model with memory ⋮ Financial regulations and bank credit to the real economy ⋮ Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets ⋮ Insurance risk analysis of financial networks vulnerable to a shock ⋮ Connectivity, centralisation and `robustness-yet-fragility' of interbank networks ⋮ Diversification and systemic risk in the banking system ⋮ Financial contagion in interbank networks: the case of Erdős-Rényi network model ⋮ Network topology and interbank credit risk ⋮ Prices, debt and market structure in an agent-based model of the financial market ⋮ Identification of information networks in stock markets ⋮ Heterogeneous beliefs in over-the-counter markets ⋮ Quantifying preferential trading in the e-MID interbank market ⋮ The stability of interbank market network: a perspective on contagion and risk sharing ⋮ The impacts of interest rates on banks' loan portfolio risk-taking ⋮ Statistical arbitrage and risk contagion ⋮ Operational research and artificial intelligence methods in banking

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• A network analysis of the Italian overnight money market
• Systemic risk in a network fragility model analyzed with probability density evolution of persistent random walks
• Credit contagion and aggregate losses
• Network models and financial stability
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Credit Risk in a Network Economy
• Contagion in financial networks
• A model of financial fragility

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