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Filling in the Blanks: Network Structure and Interbank Contagion

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Personen und Körperschaften: Anand, Kartik (VerfasserIn), Craig, Ben R. (Sonstige), von Peter, Goetz (Sonstige)
Weitere Verfasser: Craig, Ben R. [Sonstige] • von Peter, Goetz [Sonstige]
Format: E-Book
Sprache: Englisch
veröffentlicht:
[S.l.] SSRN [2014]
Gesamtaufnahme: FRB of Cleveland Working Paper
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding networks with minimum density. When used in a stress-testing context, the minimum-density solution overestimates contagion, whereas maximum entropy underestimates it. Using the two benchmarks side by side defines a useful range that bounds the cost of contagion in the true interbank network when counterparty exposures are unknown
Beschreibung: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2, 2014 erstellt
Umfang: 1 Online-Ressource (27 p)
DOI: 10.2139/ssrn.2505151
Zugang: Open Access