scholarly journals Network Structure and Systemic Risk in Banking Systems

2013 ◽  
pp. 327-368 ◽  
Author(s):  
Rama Cont ◽  
Amal Moussa ◽  
Edson B. Santos
Keyword(s):  
Network Structure ◽  
Systemic Risk ◽  
Banking Systems

scholarly journals Network Structure and Systemic Risk in Banking Systems

2010 ◽  
Author(s):  
Rama Cont ◽  
Amal Moussa ◽  
Edson Bastos e Santos
Keyword(s):  
Network Structure ◽  
Systemic Risk ◽  
Banking Systems

Network-Based Modeling and Analysis of Systemic Risk in Banking Systems

MIS Quarterly ◽  
2012 ◽  
Vol 36 (4) ◽  
pp. 1269 ◽  
Author(s):  
Hu ◽  
Zhao ◽  
Hua ◽  
Wong
Keyword(s):  
Systemic Risk ◽  
Modeling And Analysis ◽  
Banking Systems

scholarly journals Bank Networks and Systemic Risk: Evidence from the National Banking Acts

2019 ◽  
Vol 109 (9) ◽  
pp. 3125-3161 ◽  
Author(s):  
Haelim Anderson ◽  
Mark Paddrik ◽  
Jessie Jiaxu Wang
Keyword(s):  
Network Model ◽  
Network Structure ◽  
Systemic Risk ◽  
Financial Stability ◽  
Balance Sheets ◽  
Unique Data ◽  
Financial Center ◽  
Bank Balance Sheets ◽  
The City ◽  
Systemically Important Banks

The National Banking Acts (NBAs) of 1863–1864 established rules governing the amounts and locations of interbank deposits, thereby reshaping the bank networks. Using unique data on bank balance sheets and detailed interbank deposits in 1862 and 1867 in Pennsylvania, we study how the NBAs changed the network structure and quantify the effect on financial stability in an interbank network model. We find that the NBAs induced a concentration of interbank deposits at both the city and bank levels, creating systemically important banks. Although the concentration facilitated diversification, contagion would have become more likely when financial center banks faced large shocks. (JEL E44, G01, G21, G28, L14, N21)

scholarly journals Heterogeneous market structure and systemic risk: Evidence from dual banking systems

2017 ◽  
Vol 33 ◽  
pp. 96-119 ◽  
Author(s):  
Pejman Abedifar ◽  
Paolo Giudici ◽  
Shatha Qamhieh Hashem
Keyword(s):  
Market Structure ◽  
Systemic Risk ◽  
Banking Systems

scholarly journals Evaluating illiquidity and systemic contagion in South African banks

2014 ◽  
Vol 7 (3) ◽  
pp. 697-720
Author(s):  
Dirk Visser ◽  
Gary Van Vuuren
Keyword(s):  
South African ◽  
Emerging Economies ◽  
Systemic Risk ◽  
Stress Testing ◽  
Feedback Effects ◽  
Testing Model ◽  
Banking Systems

A stress-testing model to evaluate liquidity and systemic risk in banks of developed and emerging economies has been assembled and tested. The Liquidity Stress Tester model (LST) was applied to Dutch and UK markets during crisis and non-crisis periods in previous research – here it is applied to South African banks. The flexibility and adaptability of the LST allows different banking systems and reactions of system participants to be evaluated comprehensively. Feedback effects arising from bank reactions to severely stressed haircuts and increases in systemic risk caused by reputation degradation are considered, as is the effect of enhanced contagion from other banks. 

scholarly journals Asymmetric Network Connectedness of Fears

2020 ◽  
pp. 1-41
Author(s):  
Jozef Baruník ◽  
Mattia Bevilacqua ◽  
Radu Tunaru
Keyword(s):  
Network Structure ◽  
Systemic Risk ◽  
Financial System ◽  
Option Prices ◽  
Economic Uncertainty ◽  
Macroeconomic Conditions ◽  
Market Participants ◽  
Risk Monitoring ◽  
Network Connectedness ◽  
Forward Looking

This paper introduces forward-looking measures of the network connectedness of fears in the financial system, arising due to the good and bad beliefs of market participants about uncertainty that spreads unequally across a network of banks. We argue that this asymmetric network structure extracted from call and put traded option prices of the main U.S. banks contains valuable information for predicting macroeconomic conditions and economic uncertainty, and it can serve as a tool for forward-looking systemic risk monitoring.

scholarly journals ON THE IMPORTANCE OF TRADITIONAL LENDING ACTIVITY FOR BANKING SYSTEMS STABILITY

2020 ◽  
pp. 2050005
Author(s):  
STEFANO ZEDDA ◽  
MICHELE PATANÉ ◽  
LUANA MIGGIANO
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Systemic Risk ◽  
Financial Stability ◽  
Banking Systems ◽  
Comprehensive Income ◽  
Lending Activity ◽  
Lower Correlation

In this paper, we analyzed the role of banks’ traditional lending on systemic stability. Firstly, we quantified the effect of correlation among banks’ results on systemic risk through Monte Carlo simulation. Secondly, we verified how traditional lending affects banks’ results correlation. Finally, combining the two effects, we assessed the importance of bank traditional lending on financial stability. Our results suggest that banks devoting a higher share of their assets to traditional lending show a lower correlation of their comprehensive income, thus having a mitigation effect on systemic stability.

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