The Brazilian Interbank Network Structure and Systemic Risk
AbstractWe explore the structure and dynamics of interbank exposures in Brazil using a unique data set of all mutual exposures of financial institutions in Brazil, as well as their capital reserves, at various periods in 2007 and 2008. We show that the network of exposures can be adequately modeled as a directed scale-free (weighted) graph with heavy-tailed degree and weight distributions. We also explore the relationship between connectivity of a financial institution and its capital buffer. Finally, we use the network structure to explore the extent of systemic risk generated in the system by the individual institutions.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 219.
Date of creation: Oct 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
- NEP-BAN-2010-11-06 (Banking)
- NEP-NET-2010-11-06 (Network Economics)
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