Centrality-based Capital Allocations
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- Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-Based Capital Allocations," International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 329-377, June.
- Adrian Alter & Ben Craig & Peter Raupach, 2014. "Centrality-based Capital Allocations," IMF Working Papers 2014/237, International Monetary Fund.
- Alter, Adrian & Craig, Ben & Raupach, Peter, 2015. "Centrality-based capital allocations," Discussion Papers 03/2015, Deutsche Bundesbank.
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Cited by:
- Gabrielle Demange, 2018.
"Contagion in Financial Networks: A Threat Index,"
Management Science, INFORMS, vol. 64(2), pages 955-970, February.
- Demange, Gabrielle, 2012. "Contagion in financial networks: A threat index," CEPR Discussion Papers 8793, C.E.P.R. Discussion Papers.
- Gabrielle Demange, 2015. "Contagion in Financial Networks: A Threat Index," CESifo Working Paper Series 5307, CESifo.
- Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," PSE-Ecole d'économie de Paris (Postprint) halshs-01630616, HAL.
- Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Post-Print halshs-01630616, HAL.
- Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," PSE Working Papers halshs-00662513, HAL.
- Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," Working Papers halshs-00662513, HAL.
- Christoph Siebenbrunner, 2017. "Clearing algorithms and network centrality," Papers 1706.00284, arXiv.org.
- Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017.
"Where the Risks Lie: A Survey on Systemic Risk,"
Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers halshs-01142014, HAL.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Post-Print hal-01498631, HAL.
- Colliard , Jean-Edouard & Perignon , Christophe, 2015. "Where the Risks Lie: A Survey on Systemic Risk," HEC Research Papers Series 1088, HEC Paris.
- Sylvain Benoît & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2015. "Where the Risks Lie: A Survey on Systemic Risk," Working Papers hal-02011395, HAL.
- Murat Cakir, 2017.
"A conceptual design of "what and how should a proper macro-prudential policy framework be?" A globalistic approach to systemic risk and procuring the data needed,"
IFC Bulletins chapters, in: Bank for International Settlements (ed.), Uses of central balance sheet data offices' information, volume 45,
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- Cakir, Murat, 2016. "A Conceptual Design of “What and How Should a Proper Macro-Prudential Policy Framework Be?” A Globalistic Approach to Systemic Risk and Procuring the Data Needed," MPRA Paper 72776, University Library of Munich, Germany.
- Julia Müller & Thorsten Upmann, 2017. "Eigenvalue Productivity: Measurement of Individual Contributions in Teams," CESifo Working Paper Series 6679, CESifo.
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Economica, London School of Economics and Political Science, vol. 85(340), pages 735-770, October.
- Gabriele Galati & Richhild Moessner, 2014. "What do we know about the effects of macroprudential policy?," DNB Working Papers 440, Netherlands Central Bank, Research Department.
- Thibaut PIQUARD & Dilyara SALAKHOVA, 2018. "Macroprudential policy instruments: a bulwark against interbank contagion risk [Les instruments de politique macroprudentielle : un rempart contre les risques de contagion interbancaire]," Bulletin de la Banque de France, Banque de France, issue 218.
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"The credit quality channel: Modeling contagion in the interbank market,"
Journal of Financial Stability, Elsevier, vol. 25(C), pages 83-97.
- Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2015. "The credit quality channel: Modeling contagion in the interbank market," Discussion Papers 38/2015, Deutsche Bundesbank.
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Journal of Financial Stability, Elsevier, vol. 25(C), pages 206-224.
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- Berlinger, Edina & Dömötör, Barbara & Daróczi, Gergely & Vadász, Tamás, 2017. "Pénzügyi hálózatok mag-periféria szerkezete. A magyar bankközi fedezetlen hitelek piaca, 2003-2012 [The core periphery structure of financial networks: investigating Hungary s interbank deposit mar," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1160-1185.
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More about this item
Keywords
interbank connectivity; credit exposures; capital requirements; banking system; bank contagion; network centrality measure; bankruptcy costs; systemic risk;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-02-22 (Banking)
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