* 12 Results enter search term Search Reset filter Suchfilter Content Type Publications (12) Publication Type Working Paper (10) Journal Article (2) Research Macroeconomic Research (12) International Macroeconomics (10) Experts Thomas Lux (9) Daniel Fricke (7) Karl Finger (3) Mattia Montagna (3) Christoffer Kok (1) Date Last Month Last Year Select Period start date to end date Sort by Relevance Date Aktive Filter Tags: interbank market Remove all filters Publication Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform 01.03.2015 We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate... Publication Trading Strategies in the Overnight Money Market: Correlations and Clustering on the e-MID Trading Platform 01.03.2012 We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain... Publication Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform 01.12.2012 We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain... Publication Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform 01.03.2012 We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate... Publication Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market 01.04.2014 This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections... Publication Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information 01.07.2014 Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of... Publication On Assortative and Disassortative Mixing Scale-Free Networks: The Case of Interbank Credit Networks 12.02.2013 Networks constructed from credit relationships in the interbank market have been found to exhibit disassortative mixing together with a scale-free degree distribution, in contrast to most social networks that are assortative and not necessarily... Publication Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes 01.07.2012 In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer... Publication Multi-layered Interbank Model for Assessing Systemic Risk 01.09.2013 In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the... Publication Hubs and resilience: towards more realistic models of the interbank markets 12.02.2013 This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for... 1 2 »
Publication Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform 01.03.2015 We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate...
Publication Trading Strategies in the Overnight Money Market: Correlations and Clustering on the e-MID Trading Platform 01.03.2012 We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain...
Publication Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform 01.12.2012 We analyze the correlations in patterns of trading for members of the Italian interbank trading platform e-MID. The trading strategy of a particular member institution is defined as the sequence of (intra-) daily net trading volumes within a certain...
Publication Core-Periphery Structure in the Overnight Money Market: Evidence from the e-MID Trading Platform 01.03.2012 We explore the network topology arising from a dataset of the overnight interbank transactions on the e-MID trading platform from January 1999 to December 2010. In order to shed light on the hierarchical structure of the banking system, we estimate...
Publication Emergence of a Core-Periphery Structure in a Simple Dynamic Model of the Interbank Market 01.04.2014 This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections...
Publication Contagion Risk in the Interbank Market: A Probabilistic Approach to cope with Incomplete Structural Information 01.07.2014 Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of...
Publication On Assortative and Disassortative Mixing Scale-Free Networks: The Case of Interbank Credit Networks 12.02.2013 Networks constructed from credit relationships in the interbank market have been found to exhibit disassortative mixing together with a scale-free degree distribution, in contrast to most social networks that are assortative and not necessarily...
Publication Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes 01.07.2012 In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer...
Publication Multi-layered Interbank Model for Assessing Systemic Risk 01.09.2013 In this paper, we develop an agent-based multi-layered interbank network model based on a sample of large EU banks. The model allows for taking a more holistic approach to interbank contagion than is standard in the literature. A key finding of the...
Publication Hubs and resilience: towards more realistic models of the interbank markets 12.02.2013 This paper uses a toy financial system to study systemic risk in scale-free interbank networks. Networks are produced according to a fitness algorithm, combined with a representation of the balance sheets of the banks. Our generating processes for...