Networked relationships in the e-MID interbank market: a trading model with memory
From MaRDI portal
Publication:1623966
DOI10.1016/j.jedc.2014.08.016zbMath1402.91953arXiv1403.3638OpenAlexW2138856702MaRDI QIDQ1623966
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
Related Items
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
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