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Citations for " Interbank Exposures: Quantifying the Risk of Contagion"

by Furfine, Craig H

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  1. Mistrulli, Paolo Emilio, 2011. "Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1114-1127, May.
  2. Martin Èihák, 2005. "Stress Testing of Banking Systems (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 418-440, September.
  3. Craig, Ben & Koetter, Michael & Krüger, Ulrich, 2014. "Interbank lending and distress: Observables, unobservables, and network structure," Discussion Papers 18/2014, Deutsche Bundesbank, Research Centre.
  4. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Using Market Information for Banking System Risk Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  5. Itai Agur, 2014. "Bank Risk Within and Across Equilibria," IMF Working Papers 14/116, International Monetary Fund.
  6. 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.
  7. Iori, Giulia & De Masi, Giulia & Precup, Ovidiu Vasile & Gabbi, Giampaolo & Caldarelli, Guido, 2008. "A network analysis of the Italian overnight money market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 259-278, January.
  8. Sandro Brusco & Fabio Castiglionesi, 2007. "Liquidity Coinsurance, Moral Hazard, and Financial Contagion," Journal of Finance, American Finance Association, vol. 62(5), pages 2275-2302, October.
  9. Maryam Farboodi, 2014. "Intermediation and Voluntary Exposure to Counterparty Risk," 2014 Meeting Papers 365, Society for Economic Dynamics.
  10. Galos, Peter & Soramäki, Kimmo, 2005. "Systemic risk in alternative payment system designs," Working Paper Series 0508, European Central Bank.
  11. Joseph E Stiglitz & Mauro Gallegati, 2011. "Heterogeneous Interacting Agent Models for Understanding Monetary Economies," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 6-12.
  12. Juan Sole & Marco A Espinosa-Vega, 2010. "Cross-Border Financial Surveillance; A Network Perspective," IMF Working Papers 10/105, International Monetary Fund.
  13. repec:dgr:uvatin:20060093 is not listed on IDEAS
  14. Reint Gropp & Marco Lo Duca & Jukka Vesala, 2007. "Cross-Border Bank Contagion in Europe," Working Paper Series: Finance and Accounting 175, Department of Finance, Goethe University Frankfurt am Main.
  15. repec:dgr:kubcen:20044 is not listed on IDEAS
  16. Craig, Ben R. & Fecht, Falko & Tumer-Alkan, Gunseli, 2014. "The Role of Interbank Relationships and Liquidity Needs," Working Paper 1421, Federal Reserve Bank of Cleveland.
  17. repec:dgr:kubcen:200920 is not listed on IDEAS
  18. Sokolov, Andrey & Webster, Rachel & Melatos, Andrew & Kieu, Tien, 2012. "Loan and nonloan flows in the Australian interbank network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2867-2882.
  19. Huberto M. Ennis & John A. Weinberg, 2007. "Interest on reserves and daylight credit," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 111-142.
  20. Andrey Sokolov & Rachel Webster & Andrew Melatos & Tien Kieu, 2012. "Loan and nonloan flows in the Australian interbank network," Papers 1202.3182, arXiv.org.
  21. Helwege, Jean, 2010. "Financial firm bankruptcy and systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 1-12, February.
  22. Paolo Tasca & Stefano Battiston, . "Market Procyclicality and Systemic Risk," Working Papers ETH-RC-12-012, ETH Zurich, Chair of Systems Design.
  23. Bartolini, Leonardo & Hilton, Spence & McAndrews, James J., 2010. "Settlement delays in the money market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 934-945, May.
  24. Rajkamal Iyer & José-Luis Peydró, 0. "Interbank Contagion at Work: Evidence from a Natural Experiment," Review of Financial Studies, Society for Financial Studies, vol. 24(4), pages 1337-1377.
  25. Doris Neuberger & Roger Rissi, 2014. "Macroprudential Banking Regulation: Does One Size Fit All?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28, May.
  26. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  27. Oliver Kley & Claudia Kl\"uppelberg & Lukas Reichel, 2014. "Systemic risk through contagion in a core-periphery structured banking network," Papers 1406.6575, arXiv.org.
  28. Stefano Battiston & Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Joseph E. Stiglitz, 2009. "Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk," NBER Working Papers 15611, National Bureau of Economic Research, Inc.
  29. Matthias Raddant, 2012. "Structure in the Italian Overnight Loan Market," Kiel Working Papers 1772, Kiel Institute for the World Economy.
  30. Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2014. "Mapping the UK interbank system," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 288-303.
  31. Oet, Mikhail V. & Bianco, Timothy & Gramlich, Dieter & Ong, Stephen J., 2013. "SAFE: An early warning system for systemic banking risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4510-4533.
  32. Philipp Hartmann & Stefan Straetmans & Casper G. De Vries, 2005. "Banking System Stability: A Cross-Atlantic Perspective," NBER Working Papers 11698, National Bureau of Economic Research, Inc.
  33. Raffaella Calabrese & Silvia Osmetti, 2014. "Modelling cross-border systemic risk in the European banking sector: a copula approach," Papers 1411.1348, arXiv.org.
  34. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  35. Selva Demiralp & Brian Preslopsky & William Whitesell, 2004. "Overnight interbank loan markets," Finance and Economics Discussion Series 2004-29, Board of Governors of the Federal Reserve System (U.S.).
  36. Grilli, Ruggero & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "Bank interlinkages and macroeconomic stability," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 72-88.
  37. Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
  38. A. Karas & K. Schoors & G. Lanine, 2008. "Liquidity matters: Evidence from the Russian interbank market," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/520, Ghent University, Faculty of Economics and Business Administration.
  39. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
  40. David C. Mills, Jr. & Travis D. Nesmith, 2007. "Risk and concentration in payment and securities settlement systems," Finance and Economics Discussion Series 2007-62, Board of Governors of the Federal Reserve System (U.S.).
  41. Augusto Hasman, 2013. "A Critical Review Of Contagion Risk In Banking," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 978-995, December.
  42. Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer, vol. 40(3), pages 123-141, December.
  43. Quinn, Stephen & Roberds, William, 2014. "How Amsterdam got fiat money," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 1-12.
  44. 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.
  45. 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.
  46. 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.
  47. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
  48. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 810, Banco de la Republica de Colombia.
  49. Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
  50. 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.
  51. Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2014. "Mapping the UK interbank system," Bank of England working papers 516, Bank of England.
  52. Hałaj, Grzegorz & Kok, Christoffer, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
  53. Srobona Mitra & Elena Duggar, 2007. "External Linkages and Contagion Risk in Irish Banks," IMF Working Papers 07/44, International Monetary Fund.
  54. Yang, Hsin-Feng & Liu, Chih-Liang & Chou, Ray Yeutien, 2014. "Interest rate risk propagation: Evidence from the credit crunch," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 242-264.
  55. Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010. "Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Working Papers 033, COMISEF.
  56. Raphael H. Solomon, 2005. "Pocket Banks and Out-of-Pocket Losses: Links between Corruption and Contagion," Working Papers 05-23, Bank of Canada.
  57. Mauricio Arias & Juan Carlos Mendoza & David Pérez-Reyna, . "Applying CoV aR to Measure Systemic Market Risk: the Colombian Case," Temas de Estabilidad Financiera 047, Banco de la Republica de Colombia.
  58. 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.
  59. 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.
  60. 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.
  61. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
  62. Delli Gatti, Domenico & Gallegati, Mauro & Greenwald, Bruce & Russo, Alberto & Stiglitz, Joseph E., 2010. "The financial accelerator in an evolving credit network," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1627-1650, September.
  63. Ben R. Craig & Goetz von Peter, 2010. "Interbank tiering and money center banks," Working Paper 1014, Federal Reserve Bank of Cleveland.
  64. 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.
  65. Prasanna Gai & Sujit Kapadia, 2009. "A Network Model of Super-systemic Crises," Working Papers Central Bank of Chile 542, Central Bank of Chile.
  66. Gao, Bo & Ren, Ruo-en, 2013. "The topology of a causal network for the Chinese financial system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(13), pages 2965-2976.
  67. David VanHoose, 2011. "Systemic Risks and Macroprudential Bank Regulation: A Critical Appraisal," NFI Policy Briefs 2011-PB-04, Indiana State University, Scott College of Business, Networks Financial Institute.
  68. Iori, Giulia & Jafarey, Saqib & Padilla, Francisco G., 2006. "Systemic risk on the interbank market," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 525-542, December.
  69. Robert R. Bliss, 2003. "Bankruptcy law and large complex financial organizations: a primer," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 48-58.
  70. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
  71. Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong & Jing Wang, 2011. "SAFE: An early warning system for systemic banking risk," Working Paper 1129, Federal Reserve Bank of Cleveland.
  72. Docherty, Peter & Wang, Gehong, 2010. "Using synthetic data to evaluate the impact of RTGS on systemic risk in the Australian payments system," Journal of Financial Stability, Elsevier, vol. 6(2), pages 103-117, June.
  73. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Systemically important banks: an analysis for the European banking system," International Economics and Economic Policy, Springer, vol. 3(1), pages 73-89, April.
  74. Martin Cihak & Sonia Munoz & Ryan Scuzzarella, 2012. "The Bright and the Dark Side of Cross-Border Banking Linkages," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(3), pages 200-225, July.
  75. Martin Cihak, 2004. "Stress Testing: A Review of Key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research Department.
  76. William Bergman & Robert Bliss & Christian Johnson & George Kaufman, 2004. "Netting, financial contracts, and banks: the economic implications," Working Paper Series WP-04-02, Federal Reserve Bank of Chicago.
  77. 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).
  78. 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.
  79. Ana Babus, 2007. "The Formation of Financial Networks," Working Papers 2007.69, Fondazione Eni Enrico Mattei.
  80. Battiston, Stefano & Gatti, Domenico Delli & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Default cascades: When does risk diversification increase stability?," Journal of Financial Stability, Elsevier, vol. 8(3), pages 138-149.
  81. Sandro Brusco & Giuseppe Lopomo & Leslie M. Marx, 2011. "The Economics of Contingent Re-auctions," American Economic Journal: Microeconomics, American Economic Association, vol. 3(2), pages 165-93, May.
  82. Jean-Cyprien H\'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
  83. di Iasio, Giovanni & Battiston, Stefano & Infante, Luigi & Pierobon, Federico, 2013. "Capital and Contagion in Financial Networks," MPRA Paper 52141, University Library of Munich, Germany.
  84. Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper 2004-4, Tilburg University, Center for Economic Research.
  85. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
  86. Domenico Gatti & Edoardo Gaffeo & Mauro Gallegati, 2010. "Complex agent-based macroeconomics: a manifesto for a new paradigm," Journal of Economic Interaction and Coordination, Springer, vol. 5(2), pages 111-135, December.
  87. Nikolay Nenovsky & Petar Chobanov, 2004. "Dynamics of the Inter-Bank Market in Bulgaria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 32-52.
  88. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
  89. Bliss, Robert R. & Kaufman, George G., 2006. "Derivatives and systemic risk: Netting, collateral, and closeout," Journal of Financial Stability, Elsevier, vol. 2(1), pages 55-70, April.
  90. Suh, Sangwon, 2012. "Measuring systemic risk: A factor-augmented correlated default approach," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 341-358.
  91. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4241-4255.
  92. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
  93. Domenico Delli Gatti & Mauro Gallegati & Bruce C. Greenwald & Alberto Russo & Joseph E. Stiglitz, 2008. "Financially Constrained Fluctuations in an Evolving Network Economy," NBER Working Papers 14112, National Bureau of Economic Research, Inc.
  94. Hałaj, Grzegorz & Kok, Christoffer, 2014. "Modeling emergence of the interbank networks," Working Paper Series 1646, European Central Bank.
  95. Devriese, Johan & Mitchell, Janet, 2006. "Liquidity risk in securities settlement," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1807-1834, June.
  96. Peter Zweifel & Dieter Pfaff & Jochen Kühn, 2012. "Why solvency regulation of banks fails to reach its objective," Working Papers 303, University of Zurich, Department of Business Administration (IBW).
  97. Robert Bliss, 2003. "Resolution of large complex financial organizations," Working Paper Series WP-03-07, Federal Reserve Bank of Chicago.
  98. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  99. Xavier Freixas & Bruno Maria Parigi, 2008. "Lender of Last Resort and Bank Closure Policy," CESifo Working Paper Series 2286, CESifo Group Munich.
  100. Peter Docherty & Gehong Wang, 2009. "A Revided Exposition of the Methodology for Testing Payments Systems Risk," Working Paper Series 159, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  101. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
  102. Toivanen, Mervi, 2013. "Contagion in the interbank network: An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  103. Sergio R. S. Souza & Benjamin M. Tabak & Solange M. Guerra, 2013. "Insolvency and Contagion in the Brazilian Interbank Market," Working Papers Series 320, Central Bank of Brazil, Research Department.
  104. 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.
  105. A. Pinna, 2014. "Shall We Keep Early Diers Alive?," Working Paper CRENoS 201411, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  106. Peter Docherty & G Wang, 2006. "Using Synthetic Data to Measure the Impact of RTGS on Systemic Risk in the Australian Payments System," Working Paper Series 149, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  107. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
  108. 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.
  109. Charles A. E. Goodhart, 2005. "What Can Academics Contribute to the Study of Financial Stability?," The Economic and Social Review, Economic and Social Studies, vol. 36(3), pages 189-203.
  110. 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.
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