Contagion and risk-sharing on the inter-bank market
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Publication:1994269
DOI10.1016/j.jedc.2013.03.009zbMath1402.91850OpenAlexW1999150911MaRDI QIDQ1994269
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
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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