Contagion in interbank debt networks
WebOct 4, 2016 · The study of the interbank network has attracted considerable attention, also for its practical importance. Two widely recognized algorithms to quantify losses due to financial contagion are the Furfine algorithm [12, 32] and DebtRank [33–39].The former is essentially a threshold model according to which a bank propagates distress to its … WebContagion effect is a key concern for banks charged with safeguarding overall financial stability and avoiding bankruptcy. In this paper, we investigate how the default contagion caused by a single bank's initial shock spread to its creditors and even the whole system, and how to estimate the contagion probability and contagion index, which reflects the …
Contagion in interbank debt networks
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WebJSTOR Home WebJul 30, 2024 · Interbank network structure ... consider that financial contagions can propagate through cross-holdings of shares, debt, or other liabilities and investigate the influence by introducing the notion of integration (mutual holdings of equities) and diversification (the extent of the holding). The authors also consider contagion through …
To explore how systemic risk is affected by the structure of the financial system, we estimate the following regression model. where {FSI}_{t} represents the financial stress index in period t, with a higher value associated with a higher probability of financial system risk. We employ four proxies, clustering … See more Table 4 presents the regression results from the estimation of Eq. (2), which examines the relation between network structure and … See more We further perform several additional analyses to ensure the robustness of our findings. First, we lag our key independent variable for 1 period … See more A common wisdom is that when the macro-level environment fluctuates, the risk of the financial system changes as well (Baker et al., … See more Webinformation about an interbank network, we augment the model with three plausible types of re salemechanisms. We then demonstrate the powerof the methodology on the euro …
Webthe contagion effects from different macro-financial scenarios. A final contribution compared to the previous literature relates to the geographical coverage. Whereas most interbank contagion studies refer to specific country settings, in our paper we create networks between large banks in the EU as a whole.13 This allows to also
WebNov 19, 2024 · By considering overlapping portfolios among financial institutions, we construct a financial contagion model for inter-bank networks with two channels of …
WebThe simulation approach to analysing contagion within interbank networks proposed in this paper is related to the so-called Stochastic Block Modeling of networks, as for … tank cleaning hatchWebToivanen used an epidemiologic SIR model to model the spreading of the contagion in the interbank network and analyzed the importance of individual bank-specific factors on financial stability. Brandi ... S. Vivier, “Contagion in interbank debt networks,” Giornale Italiano di Cardiologia, vol. 13, pp. 36–40, 2012. View at: Google Scholar. tank cleaning for asphalt tanksWebFeb 12, 2015 · This paper proposes a model of network interactions in the interbank market. Our innovation is to model systemic risk in the interbank network as the … tank cleaning fish with beta fishWebSep 25, 2012 · The main focus of this research is the contagion of a financial crisis on an interbank debt network. In order to simulate the crisis propagation a weighted … tank cleaning nozzleWebEnter the email address you signed up with and we'll email you a reset link. tank cleaning kit ffc01WebInterbank Debt Contagion and Financial Network Solvency1 Jian Zhang 2. Economic and Policy Analysis Division . The Office of the Comptroller of the Currency . The U.S. … tank cleaning houston txWebThey explore several critical issues. First, they address the issue of systemic risk, by studying two questions: how resilient financial networks are to contagion, and how financial institutions form connections when exposed to the risk of contagion. Second, they consider how network theory can be used to explain freezes in the interbank market. tank cleaning machine