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Citations for "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns"

by Mistrulli, Paolo Emilio

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  1. Makoto Nirei & Julián Caballero & Vladyslav Sushko, 2015. "Bank capital shock propagation via syndicated interconnectedness," BIS Working Papers 484, Bank for International Settlements.
  2. Cohen-Cole, Ethan & Patacchini, Eleonora & Zenou, Yves, 2011. "Systemic Risk and Network Formation in the Interbank Market," Research Papers in Economics 2011:6, Stockholm University, Department of Economics.
  3. Iñaki Aldasoro & Ignazio Angeloni, 2015. "Input-output-based measures of systemic importance," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 589-606, April.
  4. Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org.
  5. Michele Manna & Alessandro Schiavone, 2012. "Externalities in interbank network: results from a dynamic simulation model," Temi di discussione (Economic working papers) 893, Bank of Italy, Economic Research and International Relations Area.
  6. S Battiston & G di Iasio & L Infante & F Pierobon, 2015. "Capital and contagion in financial networks," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39 Bank for International Settlements.
  7. Lara Mónica Machado Fernandes & Maria Rosa Borges, 2013. "Interbank Linkages and Contagion Risk in the Portuguese Banking System," Working Papers Department of Economics 2013/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  8. Sergio Rubens Stancato de Souza & Thiago Christiano Silva & Benjamin Miranda Tabak & Solange Maria Guerra, 2016. "Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks," Working Papers Series 426, Central Bank of Brazil, Research Department.
  9. Montagna, Mattia & Lux, Thomas, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to Cope with Incomplete Structural Information," FinMaP-Working Papers 8, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  10. Ferrara, Gerardo & Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2016. "Systemic illiquidity in the interbank network," Bank of England working papers 586, Bank of England.
  11. Gabrieli, S. & Salakhova, D. & Vuillemey, G., 2015. "Interconnectedness and contagion risk in the European banking sector," Rue de la Banque, Banque de France, issue 05, April. pa.
  12. Craig, Ben R. & Koetter, Michael & Kruger, Ulrich, 2014. "Interbank Lending and Distress: Observables, Unobservables, and Network Structure," Working Paper 1418, Federal Reserve Bank of Cleveland.
  13. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
  14. Fariba Karimi & Matthias Raddant, 2013. "Cascades in real interbank markets," Papers 1310.1634, arXiv.org, revised Dec 2014.
  15. Jean-Cyprien H\'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
  16. Hałaj, Grzegorz & Kok, Christoffer, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
  17. Edson Bastos e Santos & Rama Cont, 2010. "The Brazilian Interbank Network Structure and Systemic Risk," Working Papers Series 219, Central Bank of Brazil, Research Department.
  18. repec:hhs:bofrdp:2013_019 is not listed on IDEAS
  19. Battiston, Stefano & Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1121-1141.
  20. Spiros Bougheas & Alan Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," Discussion Papers 2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  21. Sheri M Markose, 2013. "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
  22. Raffaella Calabrese & Johan A. Elkink & Paolo Giudici, 2014. "Measuring Bank Contagion in Europe Using Binary Spatial Regression Models," DEM Working Papers Series 096, University of Pavia, Department of Economics and Management.
  23. Bhaskar DasGupta & Lakshmi Kaligounder, 2012. "On Global Stability of Financial Networks," Papers 1208.3789, arXiv.org, revised Aug 2014.
  24. Neagu, Florian & Mihai, Irina, 2013. "Sudden stop of capital flows and the consequences for the banking sector and the real economy," Working Paper Series 1591, European Central Bank.
  25. Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2014(1), pages 24-41.
  26. Castrén, Olli & Rancan, Michela, 2014. "Macro-Networks: An application to euro area financial accounts," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 43-58.
  27. Mattia Montagna & Thomas Lux, 2014. "Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information," Kiel Working Papers 1937, Kiel Institute for the World Economy.
  28. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  29. Prasanna Gai & Sujit Kapadia, 2009. "A Network Model of Super-systemic Crises," Working Papers Central Bank of Chile 542, Central Bank of Chile.
  30. Leonardo dos Santos Pinheiro & Flavio Codeco Coelho, 2016. "Financial contagion in investment funds," Papers 1603.03458, arXiv.org.
  31. Kartik Anand & Ben Craig & Goetz von Peter, 2014. "Filling in the Blanks: Network Structure and Interbank Contagion," BIS Working Papers 455, Bank for International Settlements.
  32. Leonardo Bargigli & Giovanni di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2015. "Interbank markets and multiplex networks: centrality measures and statistical null models," Papers 1501.05751, arXiv.org.
  33. Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
  34. Memmel, Christoph & Sachs, Angelika, 2011. "Contagion in the interbank market and its determinants," Discussion Paper Series 2: Banking and Financial Studies 2011,17, Deutsche Bundesbank, Research Centre.
  35. Vuillemey, Guillaume & Peltonen, Tuomas A., 2013. "Disentangling the bond-CDS nexus: a stress test model of the CDS market," Working Paper Series 1599, European Central Bank.
  36. Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2014. "Mapping the UK interbank system," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 288-303.
  37. Düllmann, Klaus & Puzanova, Natalia, 2011. "Systemic risk contributions: a credit portfolio approach," Discussion Paper Series 2: Banking and Financial Studies 2011,08, Deutsche Bundesbank, Research Centre.
  38. Lena Tonzer, 2013. "Cross-Border Interbank Networks, Banking Risk and Contagion," FIW Working Paper series 129, FIW.
  39. Iacopo Mastromatteo & Elia Zarinelli & Matteo Marsili, 2011. "Reconstruction of financial network for robust estimation of systemic risk," Papers 1109.6210, arXiv.org, revised Feb 2012.
  40. Martinez-Jaramillo, Serafin & Alexandrova-Kabadjova, Biliana & Bravo-Benitez, Bernardo & Solórzano-Margain, Juan Pablo, 2014. "An empirical study of the Mexican banking system’s network and its implications for systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 242-265.
  41. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
  42. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
  43. Kurmaş AKDOĞAN & Burcu Deniz YILDIRIM, 2014. "Non-core Liabilities as an Indicator of Systemic Risk and a Liquidity Stress Test Application on Turkish Banking System," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 29(338), pages 39-66.
  44. Tomas Pavlicek, 2014. "The Developmnet of the Self-employed Sector in the Czech Republic in the Years 2006 - 2010," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 28-46.
  45. David Tison, 2014. "Impact of Non-cooperative Oligopoly of the Banking System on Its Pro-cyclicality in the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 47-63.
  46. Toivanen, Mervi, 2013. "Contagion in the interbank network : An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  47. Mariya Teteryatnikova, 2012. "Resilience of the Interbank Network to Shocks and Optimal Bail-Out Strategy: Advantages of "Tiered" Banking Systems," Vienna Economics Papers 1203, University of Vienna, Department of Economics.
  48. Hüser, Anne-Caroline, 2015. "Too interconnected to fail: A survey of the interbank networks literature," SAFE Working Paper Series 91, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  49. Green, Christopher & Bai, Ye & Murinde, Victor & Ngoka, Kethi & Maana, Isaya & Tiriongo, Samuel, 2016. "Overnight interbank markets and the determination of the interbank rate: A selective survey," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 149-161.
  50. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  51. Stephen Quinn & William Roberds, 2015. "Responding to a Shadow Banking Crisis: The Lessons of 1763," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1149-1176, 09.
  52. Ethan Cohen-Cole & Eleonora Patacchini & Yves Zenou, 2014. "Static and Dynamic Networks in Interbank Markets," EIEF Working Papers Series 1408, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
  53. Serafín Martínez-Jaramillo & Biliana Alexandrova-Kabadjova & Bernardo Bravo-Benítez & Juan Pablo Solórzano-Margain, 2012. "An Empirical Study of the Mexican Banking System's Network and its Implications for Systemic Risk," Working Papers 2012-07, Banco de México.
  54. Montagna, Mattia & Lux, Thomas, 2014. "Contagion risk in the interbank market: A probabilistic approach to cope with incomplete structural information," Kiel Working Papers 1937, Kiel Institute for the World Economy (IfW).
  55. Morrison, Alan D. & White, Lucy, 2013. "Reputational contagion and optimal regulatory forbearance," Journal of Financial Economics, Elsevier, vol. 110(3), pages 642-658.
  56. Oxana Babecka Kucharcukova & Alexis Derviz & Vaclav Hausenblas & Michal Hlavacek & Mark Joy & Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Tomas Konecny & Ivana Kubicova & Jitka Lesanovska, 2014. "Macroprudential Research: Selected Issues," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 12, number rb12/2 edited by Jan Babecky & Borek Vasicek.
  57. Rodrigo César de Castro Miranda & Benjamin Miranda Tabak, 2013. "Contagion Risk within Firm-Bank Bivariate Networks," Working Papers Series 322, Central Bank of Brazil, Research Department.
  58. Brown, Martin & Trautmann, Stefan T. & Vlahu, Razvan, 2012. "Contagious Bank Runs: Experimental Evidence," Working Papers on Finance 1207, University of St. Gallen, School of Finance.
  59. Rodríguez-Aguilar, Román & Cruz-Aké, Salvador & Venegas-Martínez, Francisco, 2014. "A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter," MPRA Paper 59046, University Library of Munich, Germany.
  60. Craig, Ben & von Peter, Goetz, 2014. "Interbank tiering and money center banks," Journal of Financial Intermediation, Elsevier, vol. 23(3), pages 322-347.
  61. Gross, Marco & Kok, Christoffer, 2013. "Measuring contagion potential among sovereigns and banks using a mixed-cross-section GVAR," Working Paper Series 1570, European Central Bank.
  62. 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.
  63. Leonardo Bargigli & Giovanni Di Iasio & Luigi Infante & Fabrizio Lillo & Federico Pierobon, 2013. "The Multiplex Structure of Interbank Networks," Working Papers - Economics wp2013_26.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  64. Morrison, Alan & White, Lucy, 2013. "Reputational Contagion and Optimal Regulatory Forbearance," CEPR Discussion Papers 9508, C.E.P.R. Discussion Papers.
  65. repec:bfr:rueban:5 is not listed on IDEAS
  66. 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, Research Centre.
  67. Bargigli, Leonardo & Gallegati, Mauro & Riccetti, Luca & Russo, Alberto, 2014. "Network analysis and calibration of the “leveraged network-based financial accelerator”," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 109-125.
  68. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  69. Mario Eboli, 2013. "A flow network analysis of direct balance-sheet contagion in financial networks," Kiel Working Papers 1862, Kiel Institute for the World Economy.
  70. 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.
  71. Toivanen, Mervi, 2009. "Financial interlinkages and risk of contagion in the Finnish interbank market," Research Discussion Papers 6/2009, Bank of Finland.
  72. Tomáš Klinger & Petr Teply, 2014. "Modelling Interconnections in the Global Financial System in the Light of Systemic Risk," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 64-88.
  73. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
  74. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, Open Access Journal, vol. 3(2), pages 139, May.
  75. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
  76. Alesia Kalbaska, 2013. "From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)," Department of Economics University of Siena 680, Department of Economics, University of Siena.
  77. Montagna, Mattia & Lux, Thomas, 2013. "Hubs and resilience: Towards more realistic models of the interbank markets," Kiel Working Papers 1826, Kiel Institute for the World Economy (IfW).
  78. repec:hhs:bofrdp:2009_006 is not listed on IDEAS
  79. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics Working Papers 2015-17, University of Adelaide, School of Economics.
  80. Hausenblas, Václav & Kubicová, Ivana & Lešanovská, Jitka, 2015. "Contagion risk in the Czech financial system: A network analysis and simulation approach," Economic Systems, Elsevier, vol. 39(1), pages 156-180.
  81. Antoaneta Sergueiva, 2013. "Systemic Risk Identification, Modelling, Analysis, and Monitoring: An Integrated Approach," Papers 1310.6486, arXiv.org.
  82. Matteo Smerlak & Brady Stoll & Agam Gupta & James S. Magdanz, 2014. "Mapping systemic risk: critical degree and failures distribution in financial networks," Papers 1402.4783, arXiv.org, revised Mar 2014.
  83. Thomas Lux, Daniel Fricke, 2012. "Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform," Kiel Working Papers 1759, Kiel Institute for the World Economy.
  84. Paltalidis, Nikos & Gounopoulos, Dimitrios & Kizys, Renatas & Koutelidakis, Yiannis, 2015. "Transmission channels of systemic risk and contagion in the European financial network," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages S36-S52.
  85. Jaroslav Vostatek, 2014. "Tax Treatment of Public and Private Pensions," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 7-27.
  86. G. Wims & D. Martens & M. De Backer, 2011. "Network Models of Financial Contagion: A Definition and Literature Review," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/730, Ghent University, Faculty of Economics and Business Administration.
  87. 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.
  88. Bargigli, Leonardo & Gallegati, Mauro, 2013. "Finding communities in credit networks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 7, pages 1-39.
  89. Mattia Montagna & Thomas Lux, 2013. "Hubs and resilience: towards more realistic models of the interbank markets," Kiel Working Papers 1826, Kiel Institute for the World Economy.
  90. 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.
  91. Ronal Muresano & Andrea Pagano, 2016. "Adapting and Optimizing the Systemic Model of Banking Originated Losses (SYMBOL) Tool to the Multi-core Architecture," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 253-280, August.
  92. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  93. van Lelyveld, Iman & Liedorp, Franka & Pröpper, Marc, 2008. "Stress Testing Linkages between Banks in the Netherlands," MPRA Paper 10092, University Library of Munich, Germany.
  94. Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, vol. 9(1), pages 1-12.
  95. Castrén, Olli & Rancan, Michela, 2013. "Macro-networks: an application to the euro area financial accounts," Working Paper Series 1510, European Central Bank.
  96. Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.
  97. Peltonen, Tuomas A. & Rancan, Michela & Sarlin, Peter, 2015. "Interconnectedness of the banking sector as a vulnerability to crises," Working Paper Series 1866, European Central Bank.
  98. Giuseppe Cappelletti & Antonio De Socio & Giovanni Guazzarotti & Enrico Mallucci, 2011. "The impact of the financial crisis on inter-bank funding: evidence from Italian balance sheet data," Questioni di Economia e Finanza (Occasional Papers) 95, Bank of Italy, Economic Research and International Relations Area.
  99. Sara Cecchetti & Marco Rocco & Laura Sigalotti, 2016. "Contagion and fire sales in banking networks," Temi di discussione (Economic working papers) 1050, Bank of Italy, Economic Research and International Relations Area.
  100. Morrison, Alan D. & White, Lucy, 2010. "Reputational contagion and optimal regulatory forbearance," Working Paper Series 1196, European Central Bank.
  101. Eboli, Mario, 2013. "A flow network analysis of direct balance-sheet contagion in financial networks," Kiel Working Papers 1862, Kiel Institute for the World Economy (IfW).
  102. Mariya Teteryatnikova, 2010. "Resilience of the Interbank Network to Shocks and Optimal Bail-Out Strategy: Advantages of "Tiered" Banking Systems," Vienna Economics Papers 1007, University of Vienna, Department of Economics.
  103. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  104. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
  105. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  106. Teteryatnikova, Mariya, 2014. "Systemic risk in banking networks: Advantages of “tiered” banking systems," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 186-210.
  107. Giulio Cimini & Tiziano Squartini & Nicol\`o Musmeci & Michelangelo Puliga & Andrea Gabrielli & Diego Garlaschelli & Stefano Battiston & Guido Caldarelli, 2014. "Reconstructing topological properties of complex networks using the fitness model," Papers 1410.2121, arXiv.org.
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