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Assessing Systemic Risk in the Brazilian Interbank Market

Author

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  • Benjamin M. Tabak
  • Sergio R. S. Souza
  • Solange M. Guerra

Abstract

In this paper, we propose a methodology to measure systemic risk that stems from financial institutions (FIs) interconnected in interbank markets. We show that this framework is useful to identify systemically important FIs. This methodology can be used to perform stress tests using additional information from FIs default probabilities and their correlation structure. We present how to implement this methodology and apply it to the Brazilian case. We also evaluate the effects of the recent global crisis on the interbank market.

Suggested Citation

  • Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series 318, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:318
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    File URL: https://www.bcb.gov.br/pec/wps/ingl/wps318.pdf
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Souza, Sergio R.S. & Tabak, Benjamin M. & Silva, Thiago C. & Guerra, Solange M., 2015. "Insolvency and contagion in the Brazilian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 140-151.
    2. Carlos León & Constanza Martínez & Freddy Cepeda, 2015. "Short-Term Liquidity Contagion in the Interbank Market," BORRADORES DE ECONOMIA 014167, BANCO DE LA REPÚBLICA.
    3. repec:eee:finsta:v:35:y:2018:i:c:p:75-92 is not listed on IDEAS
    4. Stefano Battiston & Marco D'Errico & Stefano Gurciullo & Guido Caldarelli, 2015. "Leveraging the network: a stress-test framework based on DebtRank," Papers 1503.00621, arXiv.org, revised Feb 2016.
    5. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(2), June.
    6. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    7. Affinito, Massimiliano & Franco Pozzolo, Alberto, 2017. "The interbank network across the global financial crisis: Evidence from Italy," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 90-107.
    8. repec:spr:jecfin:v:41:y:2017:i:2:d:10.1007_s12197-015-9341-7 is not listed on IDEAS
    9. FUJIWARA Yoshi & TERAI Masaaki & FUJITA Yuji & SOUMA Wataru, 2016. "DebtRank Analysis of Financial Distress Propagation on a Production Network in Japan," Discussion papers 16046, Research Institute of Economy, Trade and Industry (RIETI).
    10. Leon Rincon, C.E., 2015. "Financial stability from a network perspective," Other publications TiSEM bb2e4e44-e842-45c6-a946-4, Tilburg University, School of Economics and Management.

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