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Russian interbank networks: main characteristics and stability with respect to contagion

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Listed author(s):
  • A. V. Leonidov
  • E. L. Rumyantsev
Registered author(s):

    Abstract

    Systemic risks characterizing the Russian overnight interbank market from the network point of view are analyzed.

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    File URL: http://arxiv.org/pdf/1210.3814
    File Function: Latest version
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    Paper provided by arXiv.org in its series Papers with number 1210.3814.

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    Date of creation: Oct 2012
    Handle: RePEc:arx:papers:1210.3814
    Contact details of provider: Web page: http://arxiv.org/

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    1. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
    2. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Risk Assessment for Banking Systems," Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
    3. 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.
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    Cited by:

    1. Leonidov, A.V. & Rumyantsev, E.L., 2016. "Default contagion risks in Russian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 36-48.
    2. 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.

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