Assessing interbank contagion using simulated networks

Abstract

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Contagion in Financial Networks

“…Examples include Anand, Craig, and von Peter (2014); Drehmann and Tarashev (2013); Gandy and Veraart (forthcoming); Halaj and Kok (2013);and Sachs (2014). These types of methods offer the potential for a richer analysis consistent with limited partial information.…”

Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market

“…The matrix representation of the value of external shareholders portfolio is determined from Equation (10).…”

“…The focus of the second group is on the correlation-based networks and the analysis of the structure of a financial market in different time periods [7,8]. Most research in the field falls into the third group that analyzes the structure of inter-bank debt networks in different countries and proposes various prudential policies to mitigate financial systemic risk and its associated costs [9][10][11][12]. In this type of studies, inter-bank debt networks are introduced as scale-free networks that also have the "small world" characteristics.…”

How Insurers Differ from Banks: A Primer in Systemic Regulation

“…The large and potentially vulnerable interconnections within the banking system have motivated recent research to use network analysis to capture these interconnections and analyze the channels of systemic risk (European Central Bank, 2010;Halaj and Kok, 2013). These studies cover only banks and explain how interbank interactions can be described as a network.…”