Artículo
Credit Risk in Interbank Networks
Fecha de publicación:
11/2015
Editorial:
Routledge
Revista:
Emerging Markets Finance and Trade
ISSN:
1540-496X
e-ISSN:
1558-0938
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
One of the most striking characteristics of modern financial systems is their complex interdependence, comprising a network of bilateral exposures in the interbank market, in which institutions with surplus liquidity can lend to those with a liquidity shortage. Empirical studies reveal that some interbank networks have features of scale-free networks. We explore the characteristics of financial contagion in networks whose distribution of links approaches a power law, using a model that defines banks balance sheets from information on network connectivity. By varying the parameters for the creation of the network, several interbank networks are built, in which the concentration of debt and credit comes from the distribution of links. The results suggest that networks that are more connected and have a high concentration of credit are more resilient to contagion than other types of networks analyzed.
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Articulos(IFIMAR)
Articulos de INST.DE INVESTIGACIONES FISICAS DE MAR DEL PLATA
Articulos de INST.DE INVESTIGACIONES FISICAS DE MAR DEL PLATA
Citación
Hoffmann De Quadros, Vanessa; González Avella, Juan Carlos; Iglesias, José Roberto; Credit Risk in Interbank Networks; Routledge; Emerging Markets Finance and Trade; 51; 11-2015; 27-41
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