SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Contagion in the Interbank Market with Stochastic Loss Given Default
16 references·2 citing·35 second hop
Contagion in the Interbank Market with Stochastic Loss Given Default (2012)Contagion in the Interbank Market with St…Simulation methods to assess the danger of contagion in interbank markets (2010)Simulation methods to assess …Interbank Tiering and Money Center Banks (2010)Interbank Tiering and Money C…Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System (2010)Interbank Exposures: An Empir…Forecasting bank loans loss-given-default (2010)Forecasting bank loans loss-g…Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Assessing financial contagion…Funding Liquidity Risk in a Quantitative Model of Systemic Stability (2009)Funding Liquidity Risk in a Q…A framework for assessing the systemic risk of major financial institutions (2009)A framework for assessing the…Risk Assessment for Banking Systems (2006)Risk Assessment for Banking S…Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis (2006)Interbank Contagion in the Du…Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionEstimating bilateral exposures in the German interbank market: Is there a danger of contagion? (2004)Estimating bilateral exposure…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland (1998)Interbank Lending and Systemi…Bank contagion: A review of the theory and evidence (1994)Bank contagion: A review of t…The Losses Realized in Bank Failures (1991)The Losses Realized in Bank F…Uncertainty, Non-Linear Contagion and the Credit Quality Channel: An Application to the Spanish Interbank Market (2022)Uncertainty, Non-Linear Conta…Contagion in the interbank market: Funding versus regulatory constraints (2015)Contagion in the interbank ma…BANKRUPTCY COSTS: SOME EVIDENCE (1977)A Theory of Auctions and Competitive Bidding (1982)Limited-dependent and qualitative variables in econometrics (1983)Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures (2007)Bank valuation and accounting discretion during a financial crisis (2012)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modeling and Forecasting Realized Volatility (2003)How does competition affect bank systemic risk? (2013)Network Structure and Systemic Risk in Banking Systems (2013)Bank size, capital, and systemic risk: Some international evidence (2015)Bank Runs, Deposit Insurance, and Liquidity (1983)The Determinants of Banking Crises in Developing and Developed Countries (1998)Financial Contagion (2000)Networks in Finance (2008)The effect of the interbank network structure on contagion and common shocks (2013)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Market Liquidity and Funding Liquidity (2008)Input-output analysis foundations and extensions (2009)How likely is contagion in financial networks? (2014)Contagion in Financial Networks (2016)Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Liquidity Shortages and Banking Crises (2002)Too many to fail—An analysis of time-inconsistency in bank closure policies (2006)Network models and financial stability (2007)Contagion in financial networks (2010)Financial Networks and Contagion (2014)A Climate Stress-Test of the Financial System (2016)How Do Banks Set Interest Rates? (2004)Where the Risks Lie: A Survey on Systemic Risk (2015)Interbank tiering and money center banks (2014)The Economic Costs of Organised Crime: Evidence from Southern Italy (2015)
this work references cited by second hop

References

  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2004Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?666 cited
  • 2009A framework for assessing the systemic risk of major financial institutions638 cited
  • 2006Risk Assessment for Banking Systems636 cited
  • 2010Simulation methods to assess the danger of contagion in interbank markets613 cited
  • 2010Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns573 cited
  • 2010Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System501 cited
  • 1991The Losses Realized in Bank Failures416 cited
  • 1994Bank contagion: A review of the theory and evidence405 cited
  • 1998Interbank Lending and Systemic Risk: An Empirical Analysis for Switzerland218 cited
  • 2006Interbank Contagion in the Dutch Banking Sector: A Sensitivity Analysis175 cited
  • 2010Forecasting bank loans loss-given-default171 cited
  • 2009Funding Liquidity Risk in a Quantitative Model of Systemic Stability

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

163 cited
  • 2010Interbank Tiering and Money Center Banks101 cited
  • Cited by

    • 2015Contagion in the interbank market: Funding versus regulatory constraints23 cited
    • 2022Uncertainty, Non-Linear Contagion and the Credit Quality Channel: An Application to the Spanish Interbank Market21 cited