Advanced Search
MyIDEAS: Login

Citations for " Interbank Exposures: Quantifying the Risk of Contagion"

by Furfine, Craig H

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main.
  2. Xavier Freixas & Bruno Maria Parigi, 2008. "Lender of Last Resort and Bank Closure Policy," CESifo Working Paper Series 2286, CESifo Group Munich.
  3. Oliver Kley & Claudia Kl\"uppelberg & Lukas Reichel, 2014. "Systemic risk through contagion in a core-periphery structured banking network," Papers 1406.6575, arXiv.org.
  4. Iacopo Mastromatteo & Elia Zarinelli & Matteo Marsili, 2011. "Reconstruction of financial network for robust estimation of systemic risk," Papers 1109.6210, arXiv.org, revised Feb 2012.
  5. Raphael H. Solomon, 2005. "Pocket Banks and Out-of-Pocket Losses: Links between Corruption and Contagion," Working Papers 05-23, Bank of Canada.
  6. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
  7. Hałaj, Grzegorz & Kok, Christoffer, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
  8. 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.
  9. Docherty, Peter & Wang, Gehong, 2010. "Using synthetic data to evaluate the impact of RTGS on systemic risk in the Australian payments system," Journal of Financial Stability, Elsevier, vol. 6(2), pages 103-117, June.
  10. Ana Babus, 2007. "The Formation of Financial Networks," Working Papers 2007.69, Fondazione Eni Enrico Mattei.
  11. Matthias Raddant, 2012. "Structure in the Italian Overnight Loan Market," Kiel Working Papers 1772, Kiel Institute for the World Economy.
  12. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  13. Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz, 2014. "Mapping systemic risk: critical degree and failures distribution in financial networks," Papers 1402.4783, arXiv.org, revised Mar 2014.
  14. Sandro Brusco & Fabio Castiglionesi, 2005. "Liquidity Coinsurance, Moral Hazard and Financial Contagion," Department of Economics Working Papers 05-12, Stony Brook University, Department of Economics.
  15. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.
  16. Rajkamal Iyer & José-Luis Peydró, 0. "Interbank Contagion at Work: Evidence from a Natural Experiment," Review of Financial Studies, Society for Financial Studies, vol. 24(4), pages 1337-1377.
  17. Iori, Giulia & Jafarey, Saqib & Padilla, Francisco G., 2006. "Systemic risk on the interbank market," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 525-542, December.
  18. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Using Market Information for Banking System Risk Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  19. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-192 National Bureau of Economic Research, Inc.
  20. Jorge A. Chan-Lau, 2010. "Balance Sheet Network Analysis of too-Connected-To-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 10/107, International Monetary Fund.
  21. Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
  22. Gao, Bo & Ren, Ruo-en, 2013. "The topology of a causal network for the Chinese financial system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2965-2976.
  23. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  24. Peter Zweifel & Dieter Pfaff & Jochen Kühn, 2012. "Why solvency regulation of banks fails to reach its objective," Working Papers 303, University of Zurich, Department of Business Administration (IBW).
  25. Hans Degryse & Muhammad Ather Elahi & Maria Fabiana Penas, 2010. "Cross-Border Exposures and Financial Contagion," International Review of Finance, International Review of Finance Ltd., vol. 10(Financial), pages 209-240.
  26. Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong & Jing Wang, 2011. "SAFE: An early warning system for systemic banking risk," Working Paper 1129, Federal Reserve Bank of Cleveland.
  27. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
  28. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  29. Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010. "Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Working Papers 033, COMISEF.
  30. Ben R. Craig & Goetz von Peter, 2010. "Interbank tiering and money center banks," Working Paper 1014, Federal Reserve Bank of Cleveland.
  31. VanHoose, David, 2011. "Systemic Risk and Macroprudential Bank Regulation: A Critical Appraisal," Journal of Financial Transformation, Capco Institute, vol. 33, pages 45-60.
  32. Devriese, Johan & Mitchell, Janet, 2006. "Liquidity risk in securities settlement," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1807-1834, June.
  33. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  34. Paolo Tasca & Stefano Battiston, . "Market Procyclicality and Systemic Risk," Working Papers ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
  35. Lara Mónica Machado Fernandes & Maria Rosa Borges, 2013. "Interbank Linkages and Contagion Risk in the Portuguese Banking System," Working Papers Department of Economics 2013/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  36. Peter Docherty & Gehong Wang, 2009. "A Revided Exposition of the Methodology for Testing Payments Systems Risk," Working Paper Series 159, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  37. Mariya Teteryatnikova, 2012. "Resilience of the Interbank Network to Shocks and Optimal Bail-Out Strategy: Advantages of "Tiered" Banking Systems," Vienna Economics Papers 1203, University of Vienna, Department of Economics.
  38. Sandro Brusco & Giuseppe Lopomo & Leslie M. Marx, 2011. "The Economics of Contingent Re-auctions," American Economic Journal: Microeconomics, American Economic Association, vol. 3(2), pages 165-93, May.
  39. Sokolov, Andrey & Webster, Rachel & Melatos, Andrew & Kieu, Tien, 2012. "Loan and nonloan flows in the Australian interbank network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2867-2882.
  40. Charles A. E. Goodhart, 2005. "What Can Academics Contribute to the Study of Financial Stability?," The Economic and Social Review, Economic and Social Studies, vol. 36(3), pages 189-203.
  41. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  42. Prasanna Gai & Sujit Kapadia, 2009. "A Network Model of Super-systemic Crises," Working Papers Central Bank of Chile 542, Central Bank of Chile.
  43. 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.
  44. Craig, Ben R. & Fecht, Falko & Tümer-Alkan, Günseli, 2013. "The role of interbank relationships and liquidity needs," Discussion Papers 54/2013, Deutsche Bundesbank, Research Centre.
  45. 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.
  46. Joseph E Stiglitz & Mauro Gallegati, 2011. "Heterogeneous Interacting Agent Models for Understanding Monetary Economies," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 6-12.
  47. Galos, Peter & Soramäki, Kimmo, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 0508, European Central Bank.
  48. 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.
  49. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
  50. Helwege, Jean, 2010. "Financial firm bankruptcy and systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 1-12, February.
  51. Robert Bliss, 2003. "Resolution of large complex financial organizations," Working Paper Series WP-03-07, Federal Reserve Bank of Chicago.
  52. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 810, Banco de la Republica de Colombia.
  53. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  54. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  55. David C. Mills, Jr. & Travis D. Nesmith, 2007. "Risk and concentration in payment and securities settlement systems," Finance and Economics Discussion Series 2007-62, Board of Governors of the Federal Reserve System (U.S.).
  56. Hałaj, Grzegorz & Kok, Christoffer, 2014. "Modeling emergence of the interbank networks," Working Paper Series 1646, European Central Bank.
  57. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  58. Martin Èihák, 2005. "Stress Testing of Banking Systems (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 418-440, September.
  59. Stephen Quinn & William Roberds, 2010. "How Amsterdam got fiat money," Working Paper 2010-17, Federal Reserve Bank of Atlanta.
  60. Sergio R. S. Souza & Benjamin M. Tabak & Solange M. Guerra, 2013. "Insolvency and Contagion in the Brazilian Interbank Market," Working Papers Series 320, Central Bank of Brazil, Research Department.
  61. Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Joseph E. Stiglitz, 2009. "Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk," NBER Working Papers 15611, National Bureau of Economic Research, Inc.
  62. Bliss, Robert R. & Kaufman, George G., 2006. "Derivatives and systemic risk: Netting, collateral, and closeout," Journal of Financial Stability, Elsevier, vol. 2(1), pages 55-70, April.
  63. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  64. Leonardo Bartolini & Spence Hilton & James McAndrews, 2008. "Settlement delays in the money market," Staff Reports 319, Federal Reserve Bank of New York.
  65. Hans Degryse & Grégory Nguyen, 2004. "Interbank exposures: an empirical examination of systemic risk in the Belgian banking system," Working Paper Research 43, National Bank of Belgium.
  66. Srobona Mitra & Elena Duggar, 2007. "External Linkages and Contagion Risk in Irish Banks," IMF Working Papers 07/44, International Monetary Fund.
  67. Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Alberto Russo & Joseph E. Stiglitz, 2008. "Financially Constrained Fluctuations in an Evolving Network Economy," NBER Working Papers 14112, National Bureau of Economic Research, Inc.
  68. Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer, vol. 40(3), pages 123-141, December.
  69. Peter Docherty & G Wang, 2006. "Using Synthetic Data to Measure the Impact of RTGS on Systemic Risk in the Australian Payments System," Working Paper Series 149, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  70. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  71. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  72. William Bergman & Robert Bliss & Christian Johnson & George Kaufman, 2004. "Netting, financial contracts, and banks: the economic implications," Working Paper Series WP-04-02, Federal Reserve Bank of Chicago.
  73. Demiralp, Selva & Preslopsky, Brian & Whitesell, William, 2006. "Overnight interbank loan markets," Journal of Economics and Business, Elsevier, vol. 58(1), pages 67-83.
  74. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4241-4255.
  75. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
  76. 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.
  77. Domenico Gatti & Edoardo Gaffeo & Mauro Gallegati, 2010. "Complex agent-based macroeconomics: a manifesto for a new paradigm," Journal of Economic Interaction and Coordination, Springer, vol. 5(2), pages 111-135, December.
  78. Battiston, Stefano & Gatti, Domenico Delli & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Default cascades: When does risk diversification increase stability?," Journal of Financial Stability, Elsevier, vol. 8(3), pages 138-149.
  79. repec:ros:wpaper:124 is not listed on IDEAS
  80. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
  81. Huberto M. Ennis & John A. Weinberg, 2007. "Interest on reserves and daylight credit," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 111-142.
  82. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research Department.
  83. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Systemically important banks: an analysis for the European banking system," International Economics and Economic Policy, Springer, vol. 3(1), pages 73-89, April.
  84. Martin Cihak & Sonia Munoz & Ryan Scuzzarella, 2012. "The Bright and the Dark Side of Cross-Border Banking Linkages," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(3), pages 200-225, July.
  85. Suh, Sangwon, 2012. "Measuring systemic risk: A factor-augmented correlated default approach," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 341-358.
  86. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance," IMF Working Papers 10/105, International Monetary Fund.
  87. di Iasio, Giovanni & Battiston, Stefano & Infante, Luigi & Pierobon, Federico, 2013. "Capital and Contagion in Financial Networks," MPRA Paper 52141, University Library of Munich, Germany.
  88. Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
  89. Nikolay Nenovsky & Petar Chobanov, 2004. "Dynamics of the Inter-Bank Market in Bulgaria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 32-52.
  90. Robert R. Bliss, 2003. "Bankruptcy law and large complex financial organizations: a primer," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 48-58.
  91. Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Russo, Alberto & Stiglitz, Joseph E., 2010. "The financial accelerator in an evolving credit network," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1627-1650, September.
  92. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  93. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.