A network analysis of the Italian overnight money market

Statistical methods; risk measures (91G70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Cites Work

Statistical mechanics of complex networks
Metric structure of random networks
Dynamical patterns of epidemic outbreaks in complex heterogeneous networks
Decision making dynamics in corporate boards
Criticality in a model of banking crises

Cited In (66)

Counterparty choice, maturity shifts and market freezes: lessons from the European interbank market
How Unstable Are Complex Financial Systems? Analyzing an Inter-bank Network of Credit Relations
Intermediaries' substitutability and financial network resilience: a hyperstructure approach
THE LOCAL STOCHASTIC STABILITY FOR COMPLEX NETWORKS UNDER PINNING CONTROL
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
Dimensional reduction of solvency contagion dynamics on financial networks
Hierarchical clustering and matrix completion for the reconstruction of world input-output tables
When does low interconnectivity cause systemic risk?
FINANCIAL CONTAGION IN LARGE, INHOMOGENEOUS STOCHASTIC INTERBANK NETWORKS
Inferring trading dynamics for an OTC market: the case of the euro area overnight money market
Shareholding Networks and Centrality: An Application to the Italian Financial Market
Networked relationships in the e-MID interbank market: a trading model with memory
Identifying systemically important financial institutions: a network approach
The Topology of Central Counterparty Clearing Networks and Network Stability
The impacts of interest rates on banks' loan portfolio risk-taking
Compound Poisson models for weighted networks with applications in finance
The evolution of free trade networks
Filling in the blanks: network structure and interbank contagion
Weighted exponential random graph models: scope and large network limits
Reconstruction methods for networks: the case of economic and financial systems
Contagion and risk-sharing on the inter-bank market
An endogenous model of the credit network
Bank supervision using the threshold-minimum dominating set
Overlapping portfolios, contagion, and financial stability
To bail-out or to bail-in? Answers from an agent-based model
The role of bank relationships in the interbank market
Statistical ensembles for economic networks
Modelling the evolution of national economies based on input-output networks
An equilibrium model of interbank networks based on variational inequalities
On the long-run relationship between inflation and output in a spatial overlapping generations model
Leveraging the network: a stress-test framework based on debtrank
Assessing interbank contagion using simulated networks
Dynamic integration and network structure of the EMU sovereign bond markets
Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
Do banks change their liquidity ratios based on network characteristics?
Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes
A model of the topology of the bank -- firm credit network and its role as channel of contagion
Network versus portfolio structure in financial systems
Systemic losses due to counterparty risk in a stylized banking system
Systemic risk contagion in reconstructed financial credit network within banking and firm sectors on DebtRank based model
Myopic and farsighted stability in network formation games: an experimental study
Evaluating systemic risk using bank default probabilities in financial networks
A dynamic network model of the unsecured interbank lending market
The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model
Measuring the flow of information among cities using the diffusion power
Bank multiplex networks and systemic risk
Systemic risk in banking networks: advantages of ``tiered banking systems
Quantifying preferential trading in the e-MID interbank market
Network reconstruction with UK CDS trade repository data
Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
The multiplex structure of interbank networks
Network entropy and systemic risk in dynamic banking systems
Elimination of systemic risk in financial networks by means of a systemic risk transaction tax
A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market
ON THE LOCAL STOCHASTIC STABILITY OF NONLINEAR COMPLEX NETWORKS
Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks
Disentangling bipartite and core-periphery structure in financial networks
Structure and dynamics of the global financial network
Scheduling for single agile satellite, redundant targets problem using complex networks theory
Optimizing Network Topology for Cascade Resilience
Financial contagion in interbank networks: the case of Erdős-Rényi network model
Financial contagion: extending the exposures network of the Mexican financial system
Completeness, interconnectedness and distribution of interbank exposures—a parameterized analysis of the stability of financial networks
Bank characteristics and the interbank money market: a distributional approach
Empirical Analysis of the Architecture of the Interbank Market and Credit Market Using Network Theory
Network and eigenvalue analysis of financial transaction networks

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