Algorithm for identifying systemically important banks in payment systems
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References listed on IDEAS
- Galbiati, Marco & Soramäki, Kimmo, 2011. "An agent-based model of payment systems," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 859-875, June.
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More about this item
KeywordsSystemic risk; interbank payment system; liquidity; Markov chains; simulation;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-09 (All new papers)
- NEP-BAN-2012-09-09 (Banking)
- NEP-CBA-2012-09-09 (Central Banking)
- NEP-CMP-2012-09-09 (Computational Economics)
- NEP-NET-2012-09-09 (Network Economics)
- NEP-RMG-2012-09-09 (Risk Management)
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