Russian Interbank Systemic Risks Assessment from the Network Topology Point of View
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.
Volume (Year): 19 (2013)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Phone: +7 495 7189855
Fax: +7 495 7189855
Web page: http://www.econorus.org/english.phtmlEmail:
More information through EDIRC
References listed on IDEAS
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.:
- Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
- A. V. Leonidov & E. L. Rumyantsev, 2012. "Russian interbank networks: main characteristics and stability with respect to contagion," Papers 1210.3814, arXiv.org.
- 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.
- Fabio Caccioli & Thomas A. Catanach & J. Doyne Farmer, 2011. "Heterogeneity, correlations and financial contagion," Papers 1109.1213, arXiv.org.
- 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.
- Marco A. Espinosa-Vega & Juan Solé, 2011.
"Cross-border financial surveillance: a network perspective,"
Journal of Financial Economic Policy,
Emerald Group Publishing, vol. 3(3), pages 182-205, August.
- Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance; A Network Perspective," IMF Working Papers 10/105, International Monetary Fund.
- 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.
- 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.
- De Bandt, Olivier & Hartmann, Philipp, 2000.
"Systemic risk: A survey,"
Working Paper Series
0035, European Central Bank.
- 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.
- Lelyveld, Iman van & Liedorp, Franka, 2006.
"Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis,"
806, University Library of Munich, Germany.
- 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, vol. 2(2), May.
- 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.
- A. Karas & K. Schoors & G. Lanine, 2008. "Liquidity matters: Evidence from the Russian interbank market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/520, Ghent University, Faculty of Economics and Business Administration.
- Ágnes Lublóy, 2006. "Topology of the Hungarian large-value transfer system," MNB Occasional Papers 2006/57, Magyar Nemzeti Bank (the central bank of Hungary).
- 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.
- 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.
- 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.
- 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.
- Martin Summer, 2003.
"Banking Regulation and Systemic Risk,"
Open Economies Review,
Springer, vol. 14(1), pages 43-70, January.
- Mistrulli, Paolo Emilio, 2011.
"Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns,"
Journal of Banking & Finance,
Elsevier, vol. 35(5), pages 1114-1127, May.
- 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.
- 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.
- 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.
- Thomas R. Hurd & James P. Gleeson, 2011. "A framework for analyzing contagion in banking networks," Papers 1110.4312, arXiv.org.
- Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
When requesting a correction, please mention this item's handle: RePEc:nea:journl:y:2013:i:19:p:65-80. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexey Tcharykov)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.