Modelling the emergence of the interbank networks

DOI10.1080/14697688.2014.968357zbMath1398.91522OpenAlexW2047657533MaRDI QIDQ4683024

Grzegorz Hałaj, Christoffer Kok

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.968357

zbMATH Keywords

financial contagioncounterparty riskfinancial regulationinterbank network

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Portfolio theory (91G10)

Related Items (11)

Constructing banking networks under decreasing costs of link formation ⋮ The network structure and systemic risk in the global non-life insurance market ⋮ Emergence of a core-periphery structure in a simple dynamic model of the interbank market ⋮ Can bank-specific variables predict contagion effects? ⋮ Interbank loans, collateral and modern monetary policy ⋮ Network entropy and systemic risk in dynamic banking systems ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Leveraging the network: a stress-test framework based on debtrank ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE

Cites Work

• Network models and financial stability
• Bayesian learning in social networks.
• Connected components in random graphs with given expected degree sequences
• Assessing interbank contagion using simulated networks
• A strategic model of social and economic networks
• Systemic Risk in Financial Systems
• Interbank Markets and Multiplex Networks: Centrality Measures and Statistical Null Models

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