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* 12 Results

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    • Publications (12)
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    • Working Paper (10)
    • Journal Article (2)
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    • Macroeconomic Research (12)
    • International Macroeconomics (10)
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  • Tags: interbank market
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  1. 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...

  2. 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...

  3. 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...

  4. 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...

  5. 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...

  6. 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...

  7. 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...

  8. 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...

  9. 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...

  10. 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...

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