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

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Author Info

  • Leonidov, A.

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

  • Rumyantsev, E.

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

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    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.

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    File URL: http://www.econorus.org/repec/journl/2013-19-65-80r.pdf
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    Bibliographic Info

    Article provided by New Economic Association in its journal Journal of the New Economic Association.

    Volume (Year): 19 (2013)
    Issue (Month): 3 ()
    Pages: 65-80

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    Handle: RePEc:nea:journl:y:2013:i:19:p:65-80

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    Related research

    Keywords: interbank market; systemic risk; contagion; network;

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    References

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    1. Lelyveld, Iman van & Liedorp, Franka, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," MPRA Paper 806, University Library of Munich, Germany.
    2. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance," IMF Working Papers 10/105, International Monetary Fund.
    3. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
    4. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers) 641, Bank of Italy, Economic Research and International Relations Area.
    5. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
    6. Degryse, H.A. & Nguyen, G., 2006. "Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System," Discussion Paper 2006-016, Tilburg University, Tilburg Law and Economic Center.
    7. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    8. Kares, Alexei & Schoors , Koen & Lanine, Gleb, 2008. "Liquidity matters: Evidence from the Russian interbank market," BOFIT Discussion Papers 19/2008, Bank of Finland, Institute for Economies in Transition.
    9. A. V. Leonidov & E. L. Rumyantsev, 2012. "Russian interbank networks: main characteristics and stability with respect to contagion," Papers 1210.3814, arXiv.org.
    10. Martin Summer, 2002. "Banking Regulation and Systemic Risk," Working Papers 57, Oesterreichische Nationalbank (Austrian Central Bank).
    11. Thomas R. Hurd & James P. Gleeson, 2011. "A framework for analyzing contagion in banking networks," Papers 1110.4312, arXiv.org.
    12. Simon Wells, 2004. "Financial interlinkages in the United Kingdom's interbank market and the risk of contagion," Bank of England working papers 230, Bank of England.
    13. Edson Bastos e Santos & Rama Cont, 2010. "The Brazilian Interbank Network Structure and Systemic Risk," Working Papers Series 219, Central Bank of Brazil, Research Department.
    14. Iori, G. & Masi, G. D. & Precup, O. V. & Gabbi, G. & Caldarelli, G., 2005. "A network analysis of the Italian oversight money market," Working Papers 05/05, Department of Economics, City University London.
    15. Furfine, Craig H, 2003. " Interbank Exposures: Quantifying the Risk of Contagion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(1), pages 111-28, February.
    16. Ágnes Lublóy, 2006. "Topology of the Hungarian large-value transfer system," MNB Occasional Papers 2006/57, Magyar Nemzeti Bank (the central bank of Hungary).
    17. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
    18. Upper, Christian & Worms, Andreas, 2004. "Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?," European Economic Review, Elsevier, vol. 48(4), pages 827-849, August.
    19. Fabio Caccioli & Thomas A. Catanach & J. Doyne Farmer, 2012. "Heterogeneity, Correlations And Financial Contagion," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(su), pages 1250058-1-1.
    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.
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