Systemic Risk on the Interbank Market

By Giulia Iori, Saqib Jafarey, F. G. Padilla. 2006

383 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5eb67f98db672906c1d6e2511acd0bf8082de97

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Econophysics: Empirical facts and agent-based models (2009, neutral): “As illustrations, let us mention Iori et al. (2006), which models the interbank market and investigates systemic risk, Thurner et al. (2009), which investigates the effects of use of leverage and margin calls on the stability of a market and Yakovenko and Rosser (2009), which provides a brief…”
Econophysics review: II. Agent-based models (2011, neutral): “( 2006 ), who model the interbank market and investigate systemic risk, Thurner et al.”
The Effect of the Interbank Network Structure on Contagion and Common Shocks (2013, positive): “Iori et al. (2006) and Nier et al. (2008) develop multi-agent models of a banking system, but assume a risk-free investment opportunity.”
Business fluctuations and bankruptcy avalanches in an evolving network economy (2009, background): “A growing literature has recently developed on the network analysis of the interbank market; see, for instance, Allen and Gale (200); Freixas et al. (2000); Furfine (2003); Iori et al. (2006); Nier et al. (2007).”
A Network Analysis of the Italian Overnight Money Market (2008, background): “The main objectives are to understand potential implications of current institutional arrangements on the stability of the banking system and to assess the efficiency of the interbank market in terms of absence of speculative and preferential trading relationships.”
Contagion and risk-sharing on the inter-bank market (2013, background): “This finding is highlighted by Iori et al. (2006) who show that in the pres-172 ence of heterogenous banks the inter-bank market permits a crisis in one bank to spread,173 however, it also provides stabilization meaning the overall effect is ambiguous.174 This ambiguity makes it difficult to design…”
Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012, methodology): “The most influential example of network analysis applied to the propagation of distress in a credit network is the seminal paper by Allen and Gale (2001) on ‘‘financial contagion’’, which has triggered a significant body of work, both on interbank credit (Freixas et al., 2000; Furfine, 2003; Boss et”
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).”
Post-Mortem Examination of the International Financial Network (2012, positive): “Furthermore, we also find evidence of nonlinear effects: in line with the recent theoretical models (Iori et al., 2006; Caccioli et al., 2011; Haldane and May, 2011), the high degree of heterogeneity that characterizes the IFN breaks down the monotone relationship between connectedness and diversifi”
Multi-Layered Interbank Model For Assessing Systemic Risk (2016, background): “In Iori et al (2006) a dynamic model of the banking system, where banks can interact with each other through interbank loans, is used to show the stabilizing role of the interbank lending.”
The financial accelerator in an evolving credit network (2010, background): “A nonnegligible and growing literature has developed from these premises on the network of the interbank market (Freixas et al., 2000; Furfine, 2003; Boss et al., 2004; Iori et al., 2006; Nier et al., 2007).”