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

  • Leonidov, A.

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

  • Rumyantsev, E.

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

Registered author(s):

    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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    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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    1. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
    2. A. V. Leonidov & E. L. Rumyantsev, 2012. "Russian interbank networks: main characteristics and stability with respect to contagion," Papers 1210.3814, arXiv.org.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series 0035, European Central Bank.
    9. 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.
    10. Lelyveld, Iman van & Liedorp, Franka, 2006. "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis," MPRA Paper 806, University Library of Munich, Germany.
    11. 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.
    12. Ágnes Lublóy, 2006. "Topology of the Hungarian large-value transfer system," MNB Occasional Papers 2006/57, Magyar Nemzeti Bank (the central bank of Hungary).
    13. 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.
    14. 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.
    15. 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.
    16. Martin Summer, 2003. "Banking Regulation and Systemic Risk," Open Economies Review, Springer, vol. 14(1), pages 43-70, January.
    17. 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.
    18. 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.
    19. Thomas R. Hurd & James P. Gleeson, 2011. "A framework for analyzing contagion in banking networks," Papers 1110.4312, arXiv.org.
    20. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
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