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Russian Interbank Systemic Risks Assessment from the Network Topology Point of View

Author

Listed:
  • Leonidov, A.

    (LPI RAS, Moscow, Russia
    MIPT, Moscow, Russia
    ITEP, Moscow, Russia)

  • Rumyantsev, E.

    (Bank of Russia, Moscow, Russia
    MIPT, Moscow, Russia)

Abstract

The authors study the structure of interbank unsecured loans market from the network topology point of view as well as systemic risks related to sufficiency of bank capital. The paper discusses both theoretical and practical aspects of the interbank credit market analysis.

Suggested Citation

  • Leonidov, A. & Rumyantsev, E., 2013. "Russian Interbank Systemic Risks Assessment from the Network Topology Point of View," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 65-80.
  • Handle: RePEc:nea:journl:y:2013:i:19:p:65-80
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    File URL: http://www.econorus.org/repec/journl/2013-19-65-80r.pdf
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    References listed on IDEAS

    as
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    11. Hans Degryse & Grégory Nguyen, 2007. "Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System," International Journal of Central Banking, International Journal of Central Banking, vol. 3(2), pages 123-171, June.
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    13. Karas, Alexei & Schoors, Koen & Lanine, Gleb, 2008. "Liquidity matters: evidence from the Russian interbank market," BOFIT Discussion Papers 19/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
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    20. Michael Boss & Helmut Elsinger & Martin Summer & Stefan Thurner, 2004. "Network topology of the interbank market," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 677-684.
    21. Kirsten Bonde Rørdam & Morten Linnemann Bech, 2008. "The Topology of Danish Interbank Money Flows," FRU Working Papers 2009/01, University of Copenhagen. Department of Economics. Finance Research Unit.
    22. Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
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    Cited by:

    1. Leonidov, A.V. & Rumyantsev, E.L., 2016. "Default contagion risks in Russian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 36-48.
    2. A. V. Leonidov & E. L. Rumyantsev, 2014. "Systemic Interbank Network Risks in Russia," Papers 1410.0125, arXiv.org.

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    More about this item

    Keywords

    interbank market; systemic risk; contagion; network;
    All these keywords.

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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