Simulation methods to assess the danger of contagion in interbank markets

By Christian Upper. 2011

612 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/95bc6153621ea304268746c53335bf8f0278e9f2

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Citations in the corpus

Finding the core: Network structure in interbank markets (2014, neutral): “2 As noted by Upper [31] in an overview of this literature, the estimated contagious eﬀects are limited.”
Multiplex Interbank Networks and Systemic Importance: An Application to European Data (2016, neutral): “…and Atalay (2008) for the U.S.A., Degryse and Nguyen (2007) for Belgium, van Lelyveld and In’t Veld (2012) for the Netherlands, Fricke and Lux (2012) for Italy, Langfield et al. (2014) for the 4For a good overview of simulation studies and methods applied to interbank contagion see Upper (2011).”
Bank Networks: Contagion, Systemic Risk and Prudential Policy (2017, neutral): “Figure 2 presents the baseline configuration with an interbank matrix computed via the closest matching algorithm. In this case there are notably less links, and given that the same amount is transacted in the market, we also see an increase in the width of the arrows. The density of the network is ”
Complexity, concentration and contagion (2011, background): “The empirical literature is surveyed by Upper (2011).”
The statistical physics of real-world networks (2018, background): “[99] C.”
Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, methodology): “See Upper (2011) for a survey on the results of the network simulation literature.”
National culture and bank risk-taking (2017, neutral): “Second, banks are linked together via the interbank market, exposing them to contagion risk (Iori et al., 2006; Mistrulli, 2011; Upper, 2011).”
Systemic Importance: Some Simple Indicators (2011, background): “Second, we follow the literature in constructing a network of bilateral interbank linkages on the assumption that each bank in our sample spreads its entire interbank positions as evenly as possible across the other banks in the sample (Upper (2011)).”
Filling in the blanks: network structure and interbank contagion (2014, methodology): “Furthermore, when such estimated networks are used for purposes of stress testing, ME introduces a bias (Mistrulli 2011, Upper 2011, Markose et al. 2012).”
Multi-Layered Interbank Model For Assessing Systemic Risk (2016, background): “s (17)-(21), which reflect the micro behavior of banks in the system.”
A Network Model of Financial System Resilience (2013, neutral): “Our approach is distinct from the maximum entropy methods used in central bank analyses (eg Elsinger et.al (2006); Upper (2011)).”
Cross-Border Interbank Networks, Banking Risk and Contagion (2015, background): “3 See also Degryse and Nguyen (2007), Elsinger et al. (2006) or Upper (2011) who summarizes this literature. of shocks across countries using real data.”
Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem (2018, background): “Therefore, in case of defaults financial contagion can unfold through many different channels (Upper, 2011).”