Estimating Bilateral Exposures in the German Interbank Market

Estimating Bilateral Exposures in the German Interbank Market PDF Author: Christian Upper
Publisher:
ISBN:
Category :
Languages : en
Pages : 37

Get Book Here

Book Description
Credit risk associated with interbank lending may lead to domino effects, where the failureKreditrisiken aus Interbankbeziehungen können zu Dominoeffekten führen indem der.

Estimating Bilateral Exposures in the German Interbank Market

Estimating Bilateral Exposures in the German Interbank Market PDF Author: Christian Upper
Publisher:
ISBN:
Category :
Languages : en
Pages : 37

Get Book Here

Book Description
Credit risk associated with interbank lending may lead to domino effects, where the failureKreditrisiken aus Interbankbeziehungen können zu Dominoeffekten führen indem der.

Contagion in the Interbank Market and Its Determinants

Contagion in the Interbank Market and Its Determinants PDF Author: Christoph Memmel
Publisher:
ISBN:
Category :
Languages : en
Pages : 44

Get Book Here

Book Description
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks' capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.

CoMap: Mapping Contagion in the Euro Area Banking Sector

CoMap: Mapping Contagion in the Euro Area Banking Sector PDF Author: Mehmet Ziya Gorpe
Publisher: International Monetary Fund
ISBN: 1498312071
Category : Business & Economics
Languages : en
Pages : 63

Get Book Here

Book Description
This paper presents a novel approach to investigate and model the network of euro area banks’ large exposures within the global banking system. Drawing on a unique dataset, the paper documents the degree of interconnectedness and systemic risk of the euro area banking system based on bilateral linkages. We develop a Contagion Mapping model fully calibrated with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that tipping points shifting the euro area banking system from a less vulnerable state to a highly vulnerable state are a non-linear function of the combination of network structures and bank-specific characteristics.

Interconnectedness and Contagion Analysis: A Practical Framework

Interconnectedness and Contagion Analysis: A Practical Framework PDF Author: Mrs.Jana Bricco
Publisher: International Monetary Fund
ISBN: 1513517856
Category : Business & Economics
Languages : en
Pages : 49

Get Book Here

Book Description
The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country’s financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country’s financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.

Contagion in the Interbank Market and Its Determinants

Contagion in the Interbank Market and Its Determinants PDF Author: Christoph Memmel
Publisher:
ISBN: 9783865587855
Category :
Languages : en
Pages : 36

Get Book Here

Book Description


Interbank Tiering and Money Center Banks

Interbank Tiering and Money Center Banks PDF Author: Ben Craig
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 50

Get Book Here

Book Description


Nonlinear Analysis, Differential Equations, and Applications

Nonlinear Analysis, Differential Equations, and Applications PDF Author: Themistocles M. Rassias
Publisher: Springer Nature
ISBN: 3030725634
Category : Mathematics
Languages : en
Pages : 791

Get Book Here

Book Description
This contributed volume showcases research and survey papers devoted to a broad range of topics on functional equations, ordinary differential equations, partial differential equations, stochastic differential equations, optimization theory, network games, generalized Nash equilibria, critical point theory, calculus of variations, nonlinear functional analysis, convex analysis, variational inequalities, topology, global differential geometry, curvature flows, perturbation theory, numerical analysis, mathematical finance and a variety of applications in interdisciplinary topics. Chapters in this volume investigate compound superquadratic functions, the Hyers–Ulam Stability of functional equations, edge degenerate pseudo-hyperbolic equations, Kirchhoff wave equation, BMO norms of operators on differential forms, equilibrium points of the perturbed R3BP, complex zeros of solutions to second order differential equations, a higher-order Ginzburg–Landau-type equation, multi-symplectic numerical schemes for differential equations, the Erdős-Rényi network model, strongly m-convex functions, higher order strongly generalized convex functions, factorization and solution of second order differential equations, generalized topologically open sets in relator spaces, graphical mean curvature flow, critical point theory in infinite dimensional spaces using the Leray-Schauder index, non-radial solutions of a supercritical equation in expanding domains, the semi-discrete method for the approximation of the solution of stochastic differential equations, homotopic metric-interval L-contractions in gauge spaces, Rhoades contractions theory, network centrality measures, the Radon transform in three space dimensions via plane integration and applications in positron emission tomography boundary perturbations on medical monitoring and imaging techniques, the KdV-B equation and biomedical applications.

Contagion in the Interbank Market and Its Determinants

Contagion in the Interbank Market and Its Determinants PDF Author: Christoph Memmel
Publisher:
ISBN:
Category :
Languages : en
Pages :

Get Book Here

Book Description
Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of 2008 to the second quarter of 2011, we obtain the following results: (i) The system becomes less vulnerable to direct interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the expected number of failures, without much loss of information. (iii) Important determinants of this indicator are the banks' capital, their interbank lending in the system, the loss given default and how equal banks spread their claims among other banks.

Banking Integration and Financial Crisis

Banking Integration and Financial Crisis PDF Author: Iván Arribas Fernández
Publisher: Fundacion BBVA
ISBN: 8492937602
Category :
Languages : en
Pages : 207

Get Book Here

Book Description
La integración financiera, y del sistema bancaria en particular, han sido objeto de atención durante más de treinta años entre académicos, decisores políticos y técnicos del sector. Aunque varios factores incidan en esta tendencia ascendente, existe bastante consenso respecto a las ventajas de la integración, que son diversas y sustanciales. Sin embargo, la crisis financiera de 2007-2008 ha puesto en cuestión su expansión, dando lugar a una mayor diversidad de opiniones sobre el impacto global de una integración financiera y bancaria reforzada. En los cinco capítulos del libro se analiza de qué forma la reciente crisis financiera internacional ha contribuido a relanzar el debate sobre los posibles beneficios o riesgos de la integración financiera, considerando no solo los diferentes aspectos del tema sino las múltiples maneras de acercarse a ello. Los dos primeros capítulos analizan, para el caso español, el efecto de la expansión del mercado bancario cuando lleva parejo exposición al riesgo y desequilibrios de liquidez, así como el papel ejercido por la titulización antes de y durante las crisis. El tercer capítulo presenta nuevas medidas de integración bancaria para examinar la relación entre el grado de integración y el alcance de las crisis, mientras que los capítulos restantes emplean modelos teóricos para explicar los origines del contagio y del riesgo sistémico así como el efecto y la propagación de la caída de un banco a lo largo del sector. En el libro colaboran académicos de reconocido prestigio internacional en los campos contemplados. Estos van desde banca en general donde Santiago Carbó (Bangor Business School), Alfredo Martín (U. de las Islas Baleares), Francisco Rodríguez (U. Granada) and Emili Tortosa (U. Jaume I e Ivie) han publicado extensamente, hasta análisis de redes (sobre todo desde la perspectiva financiera), campo en el que Matteo Chinazzi y Giorgio Fagiolo (Sant’Anna School of Advanced Studies), Thomas Lux (U. Kiel, Kiel Inst. for the World Economy y U. Jaume I), Mattia Montagna (European Central Bank) e Iván Arribas (U. Valencia, ERICES e Ivie) han realizado aportaciones importantes.

Stressed, Not Frozen

Stressed, Not Frozen PDF Author: Gara Afonso
Publisher: DIANE Publishing
ISBN: 1437930174
Category : Business & Economics
Languages : en
Pages : 61

Get Book Here

Book Description
This is a print on demand edition of a hard to find publication. Examines the impact of the financial crisis of 2008, specifically the bankruptcy of Lehman Brothers, on the federal funds market. Rather than a complete collapse of lending in the presence of a market-wide shock, banks became more restrictive in their choice of counter-parties. Following the Lehman bankruptcy, amounts and spreads became more sensitive to a borrowing bank¿s characteristics. While the market did not contract dramatically, lending rates increased. Further, the market did not seem to expand to meet the increased demand predicted by the drop in other bank funding markets. The authors examine discount window borrowing as a proxy for unmet fed funds demand and find that the fed funds market is not indiscriminate. Illustrations.