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Citations for "Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis"

by Iman van Lelyveld & Franka Liedorp

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  1. Matjaž Steinbacher & Mitja Steinbacher & Matej Steinbacher, 2016. "Robustness of banking networks to idiosyncratic and systemic shocks: a network-based approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(1), pages 95-117, April.
  2. 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.
  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. Vaclav Hausenblas & Ivana Kubicova & Jitka Lesanovska, 2012. "Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach," Working Papers 2012/14, Czech National Bank, Research Department.
  5. Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009. "Shocks at large banks and banking sector distress: the Banking Granular Residual," Discussion Paper Series 2: Banking and Financial Studies 2009,04, Deutsche Bundesbank, Research Centre.
  6. Marko Krznar, 2009. "Contagion Risk in the Croatian Banking System," Working Papers 20, The Croatian National Bank, Croatia.
  7. Michele Manna & Carmela Iazzetta, 2009. "The topology of the interbank market: developments in Italy since 1990," Temi di discussione (Economic working papers) 711, Bank of Italy, Economic Research and International Relations Area.
  8. J\'ozsef Mezei & Peter Sarlin, 2016. "RiskRank: Measuring interconnected risk," Papers 1601.06204, arXiv.org.
  9. Bargigli, Leonardo & Gallegati, Mauro, 2012. "Finding communities in credit networks," Economics Discussion Papers 2012-41, Kiel Institute for the World Economy (IfW).
  10. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
  11. Gabriele Galati & Richhild Moessner, 2010. "Macroprudential policy - a literature review," DNB Working Papers 267, Netherlands Central Bank, Research Department.
  12. Paolo Emilio Mistrulli, 2007. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Temi di discussione (Economic working papers) 641, Bank of Italy, Economic Research and International Relations Area.
  13. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  14. Hans Degryse & Muhammad Ather Elahi & Maria Fabiana Penas, 2010. "Cross-Border Exposures and Financial Contagion," International Review of Finance, International Review of Finance Ltd., vol. 10(Financial), pages 209-240.
  15. Sachs, Angelika, 2010. "Completeness, interconnectedness and distribution of interbank exposures: A parameterized analysis of the stability of financial networks," Discussion Paper Series 2: Banking and Financial Studies 2010,08, Deutsche Bundesbank, Research Centre.
  16. Prasanna Gai & Sujit Kapadia, 2009. "A Network Model of Super-systemic Crises," Working Papers Central Bank of Chile 542, Central Bank of Chile.
  17. van Lelyveld, Iman & Liedorp, Franka & Kampman, Manuel, 2011. "An empirical assessment of reinsurance risk," Journal of Financial Stability, Elsevier, vol. 7(4), pages 191-203, December.
  18. Amin Jan & Maran Marimuthu, 2016. "Bankruptcy Profile of Foreign versus Domestic Islamic Banks of Malaysia: A Post Crisis Period Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 332-346.
  19. 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.
  20. Fecht, Falko & Grüner, Hans Peter & Hartmann, Philipp, 2012. "Financial Integration, Specialization, and Systemic Risk," CEPR Discussion Papers 8854, C.E.P.R. Discussion Papers.
  21. 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.
  22. Nicolas Arregui & Mohamed Norat & Antonio Pancorbo & Jodi G. Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness; Concepts and Prudential Tools," IMF Working Papers 13/199, International Monetary Fund.
  23. 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.
  24. Sergio R. Stancato de Souza, 2014. "Capital Requirements, Liquidity and Financial Stability: the case of Brazil," Working Papers Series 375, Central Bank of Brazil, Research Department.
  25. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2008. "Network models and financial stability," Bank of England working papers 346, Bank of England.
  26. Muhammad Mohsin Hakeem & Ken-ichi Suzuki, 2016. "Fragility and contagion within European Union's banking system: the network prospective," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(2), pages 115-131.
  27. Xiaojun Li & Shijun Dong, 2016. "Assessing Interbank Contagion Risk Using Consolidated Data," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(4), pages 421-432, November.
  28. Hałaj, Grzegorz, 2006. "Contagion effect in banking system - measures based on randomised loss scenarios," MPRA Paper 525, University Library of Munich, Germany.
  29. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
  30. Spiros Bougheas & Alan P. Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," CESifo Working Paper Series 4756, CESifo Group Munich.
  31. 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.
  32. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
  33. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank, Research Centre.
  34. Ferrara, Gerardo & Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2016. "Systemic illiquidity in the interbank network," Bank of England working papers 586, Bank of England.
  35. 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.
  36. Bolos, Bradut & Bacarea, Vladimir & Marusteri, Marius, 2011. "Approaching Economic Issues through Epidemiology–An Introduction to Business Epidemiology," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 257-276, March.
  37. Peter Claeys & Borek Vašícek, 2013. "“How systemic is Spain for Europe?”," IREA Working Papers 201301, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
  38. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
  39. 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.
  40. Andrea Amaral & Margarida Abreu & Victor Mendes, 2014. "The Spatial Probit Model – An Application to the Study of Banking Crises at the End of the 90’s," CEFAGE-UE Working Papers 2014_05, University of Evora, CEFAGE-UE (Portugal).
  41. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
  42. Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
  43. Panetti, Ettore, 2014. "Financial liberalization and contagion with unobservable savings," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 20-35.
  44. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  45. 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.
  46. Souza, Sergio Rubens Stancato de, 2016. "Capital requirements, liquidity and financial stability: The case of Brazil," Journal of Financial Stability, Elsevier, vol. 25(C), pages 179-192.
  47. Jean-Cyprien H\'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
  48. 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, March.
  49. G. Hauton & J.-C. Héam, 2014. "How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?," Débats économiques et financiers 15, Banque de France.
  50. Kei Imakubo & Yutaka Soejima, 2010. "The Transaction Network in Japan fs Interbank Money Markets," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 28, pages 107-150, November.
  51. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
  52. Klaas H. W. Knot & Hanne van Voorden, 2013. "Sytemically Important Banks - Possible Options for Policy Makers," Chapters, in: Stability of the Financial System, chapter 12 Edward Elgar Publishing.
  53. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  54. 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.
  55. Batiz-Zuk, Enrique & López-Gallo, Fabrizio & Martínez-Jaramillo, Serafín & Solórzano-Margain, Juan Pablo, 2016. "Calibrating limits for large interbank exposures from a system-wide perspective," Journal of Financial Stability, Elsevier, vol. 27(C), pages 198-216.
  56. Jorge A Chan-Lau, 2010. "Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 10/107, International Monetary Fund.
  57. Rodolfo Maino & Kalin I Tintchev, 2012. "From Stress to Costress; Stress Testing Interconnected Banking Systems," IMF Working Papers 12/53, International Monetary Fund.
  58. Karas, Alexei & Schoors, Koen & Lanine, Gleb, 2008. "Liquidity matters : evidence from the Russian interbank market," BOFIT Discussion Papers 19/2008, Bank of Finland, Institute for Economies in Transition.
  59. Peter Sarlin & Henrik J. Nyman, 2013. "The process of macroprudential oversight in Europe," Papers 1312.7545, arXiv.org, revised Sep 2014.
  60. Jaroslav Vostatek, 2014. "Tax Treatment of Public and Private Pensions," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 7-27.
  61. Amaral, Andrea & Abreu, Margarida & Mendes, Victor, 2014. "The spatial Probit model—An application to the study of banking crises at the end of the 1990’s," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 251-260.
  62. Toshiyuki Sakiyama & Tetsuya Yamada, 2016. "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series 16-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
  63. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
  64. Fathin Faizah Said, 2017. "Global Banking on the Financial Network Modelling: Sectorial Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 227-253, February.
  65. 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.
  66. Nicol\'o Musmeci & Stefano Battiston & Guido Caldarelli & Michelangelo Puliga & Andrea Gabrielli, 2012. "Bootstrapping topology and systemic risk of complex network using the fitness model," Papers 1209.6459, arXiv.org.
  67. Krause, Andreas & Giansante, Simone, 2012. "Interbank lending and the spread of bank failures: A network model of systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 583-608.
  68. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, Open Access Journal, vol. 3(2), pages 139-139, May.
  69. 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.
  70. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  71. Lewis Webber & Matthew Willison, 2011. "Systemic capital requirements," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 44-50 Bank for International Settlements.
  72. 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.
  73. Dairo Estrada & Paola Morales Acevedo, "undated". "La estructura del mercado interbancario y del riesgo de contagio en Colombia," Temas de Estabilidad Financiera 030, Banco de la Republica de Colombia.
  74. 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.
  75. 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.
  76. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
  77. 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.
  78. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Stability of the Financial System, chapter 9 Edward Elgar Publishing.
  79. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
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