Balance Sheet Network Analysis of too-Connected-To-Fail Risk in Global and Domestic Banking Systems
AbstractThe 2008/9 financial crisis highlighted the importance of evaluating vulnerabilities owing to interconnectedness, or Too-Connected-to-Fail risk, among financial institutions for country monitoring, financial surveillance, investment analysis and risk management purposes. This paper illustrates the use of balance sheet-based network analysis to evaluate interconnectedness risk, under extreme adverse scenarios, in banking systems in mature and emerging market countries, and between individual banks in Chile, an advanced emerging market economy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 10/107.
Date of creation: 01 Apr 2010
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ACC-2010-05-29 (Accounting & Auditing)
- NEP-ALL-2010-05-29 (All new papers)
- NEP-BAN-2010-05-29 (Banking)
- NEP-RMG-2010-05-29 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Upper, Christian & Worms, Andreas, 2004.
"Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?,"
European Economic Review, Elsevier,
Elsevier, vol. 48(4), pages 827-849, August.
- Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank, Research Centre.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2008.
"Network models and financial stability,"
Bank of England working papers, Bank of England
346, Bank of England.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007. "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(6), pages 2033-2060, June.
- Acharya, Viral V & Yorulmazer, Tanju, 2004.
"Too Many to Fail - An Analysis of Time Inconsistency in Bank Closure Policies,"
CEPR Discussion Papers, C.E.P.R. Discussion Papers
4778, C.E.P.R. Discussion Papers.
- Acharya, Viral V. & Yorulmazer, Tanju, 2007. "Too many to fail--An analysis of time-inconsistency in bank closure policies," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 16(1), pages 1-31, January.
- Viral Acharya & Tanju Yorulmazer, 2007. "Too many to fail - an analysis of time-inconsistency in bank closure policies," Bank of England working papers, Bank of England 319, Bank of England.
- Jorge A. Chan-Lau, 2010. "The Global Financial Crisis and its Impacton the Chilean Banking System," IMF Working Papers, International Monetary Fund 10/108, International Monetary Fund.
- Morten Bech & James T. E. Chapman & Rod Garratt, 2008.
"Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System,"
Working Papers, Bank of Canada
08-42, Bank of Canada.
- Morten L. Bech & James T. E. Chapman & Rod Garratt, 2008. "Which bank is the "central" bank? an application of Markov theory to the Canadian Large Value Transfer System," Staff Reports, Federal Reserve Bank of New York 356, Federal Reserve Bank of New York.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2006.
"Risk Assessment for Banking Systems,"
Management Science, INFORMS,
INFORMS, vol. 52(9), pages 1301-1314, September.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "Risk Assessment for Banking Systems," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 79, Oesterreichische Nationalbank (Austrian Central Bank).
- Furfine, Craig H, 2003. " Interbank Exposures: Quantifying the Risk of Contagion," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 35(1), pages 111-28, February.
- Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007.
"The topology of interbank payment flows,"
Physica A: Statistical Mechanics and its Applications, Elsevier,
Elsevier, vol. 379(1), pages 317-333.
- Masazumi Hattori & Yuko Suda, 2007. "Developments in a cross-border bank exposure "network"," CGFS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 16-31 Bank for International Settlements.
- George Sheldon & Martin Maurer, 1998. "Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 134(IV), pages 685-704, December.
- Iman van Lelyveld & Franka Liedorp, 2006.
"Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis,"
International Journal of Central Banking, International Journal of Central Banking,
International Journal of Central Banking, vol. 2(2), May.
- Lelyveld, Iman van & Liedorp, Franka, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," MPRA Paper 806, University Library of Munich, Germany.
- Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2009. "The systemic importance of financial institutions," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, September.
- Alesia Kalbaska, 2013. "From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)," Department of Economics University of Siena, Department of Economics, University of Siena 680, Department of Economics, University of Siena.
- Gabriele Galati & Richhild Moessner, 2011.
"Macroprudential policy - a literature review,"
BIS Working Papers
337, Bank for International Settlements.
- Gabriele Galati & Richhild Moessner, 2010. "Macroprudential policy - a literature review," DNB Working Papers, Netherlands Central Bank, Research Department 267, Netherlands Central Bank, Research Department.
- Memmel, Christoph & Sachs, Angelika & Stein, Ingrid, 2011. "Contagion at the interbank market with stochastic LGD," Discussion Paper Series 2: Banking and Financial Studies 2011,06, Deutsche Bundesbank, Research Centre.
- Carlos Castro & Juan Sebastian Ordoñez, 2012. "A Network model of systemic risk: identifying the sources of dependence across institutions," DOCUMENTOS DE TRABAJO, UNIVERSIDAD DEL ROSARIO 009651, UNIVERSIDAD DEL ROSARIO.
- Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 27(5), pages 978-995, December.
- Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," DOCUMENTOS DE TRABAJO, UNIVERSIDAD DEL ROSARIO 008779, UNIVERSIDAD DEL ROSARIO.
- Sachs, Angelika, 2010. "Completeness, interconnectedness and distribution of interbank exposures: A parameterized analysis of the stability of financial networks," Discussion Paper Series 2: Banking and Financial Studies 2010,08, Deutsche Bundesbank, Research Centre.
- Javier A. Reyes & Camelia Minoiu, 2011. "A Network Analysis of Global Banking:1978-2009," IMF Working Papers, International Monetary Fund 11/74, International Monetary Fund.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.