The credit quality channel: Modeling contagion in the interbank market
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- Fink, Kilian & Krüger, Ulrich & Meller, Barbara & Wong, Lui-Hsian, 2016. "The credit quality channel: Modeling contagion in the interbank market," Journal of Financial Stability, Elsevier, vol. 25(C), pages 83-97.
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Cited by:
- Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
- Leventides, John & Loukaki, Kalliopi & Papavassiliou, Vassilios G., 2019.
"Simulating financial contagion dynamics in random interbank networks,"
Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 500-525.
- John Leventides & Kalliopi Loukaki & Vassilios Papavassiliou, 2018. "Simulating financial contagion dynamics in random interbank networks," Working Paper series 18-34, Rimini Centre for Economic Analysis.
- John Leventides & Kalliopi Loukaki & Vassilios G. Papavassiliou, 2019. "Simulating financial contagion dynamics in random interbank networks," Open Access publications 10197/9601, Research Repository, University College Dublin.
- Bank for International Settlements, 2018. "Structural changes in banking after the crisis," CGFS Papers, Bank for International Settlements, number 60, Autumn.
- Bank for International Settlements, 2016. "Experiences with the ex ante appraisal of macroprudential instruments," CGFS Papers, Bank for International Settlements, number 56, Autumn.
- Pierre L. Siklos & Martin Stefan, 2020. "Exchange rate shocks in multicurrency interbank markets," CQE Working Papers 9220, Center for Quantitative Economics (CQE), University of Muenster.
- Jiang, Shanshan & Fan, Hong, 2021. "Systemic risk in the interbank market with overlapping portfolios and cross-ownership of the subordinated debts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
More about this item
Keywords
contagion; systemic risk; macroprudential policy; policy evaluation; interconnectedness;JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- 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-2015-11-21 (Banking)
- NEP-FMK-2015-11-21 (Financial Markets)
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