Interbank Contagion in the Dutch Banking Sector

By Iman van Lelyveld, F. Liedorp. 2004

263 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/38c1be375d363cd540b1eeb95ae1fd8eedb49085

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Citations in the corpus

Macroprudential Policy - A Literature Review (2012, unknown): “…through mutual exposures in the interbank market and indirectly through holding similar portfolios or sharing the same mass of depositors.20 van Lelyveld and Liedorp (2006), for example, investigated contagion risks in the Dutch interbank market by estimating the actual extent of bilateral and…”
Assessing Financial Contagion in the Interbank Market: Maximum Entropy Versus Observed Interbank Lending Patterns (2011, unknown): “Contents lists available at ScienceDirect Journal of Banking & Finance journal homepage: www.elsevier .com/locate / jbf 2004; Degryse and Nguyen, 2007; van Lelyveld and Liedorp, 2006).”
Simulation methods to assess the danger of contagion in interbank markets (2011, background): “…loans, ME performed separately for different maturity categories and bank types Sequential IE (i) Bilateral netting (ii) Impact of safety net Van Lelyveld and Liedorp (2006) Netherlands (i) Domestic interbank loans, ME (ii) Supervisory report on interbank exposures (incl. off balance sheet)…”
Contagion in financial networks (2010, background): “By contrast, Upper and Worms (2004) and Van Lelyveld and Liedorp (2006) suggest that contagion risk may be somewhat higher in Germany and the Netherlands.”
Network Models and Financial Stability (2007, unknown): “Lelyveld and Liedorp (2006) show that for the Netherlands, regulatory data on large exposures provides a good approximation to comprehensive survey data.”