Financial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion

By Simon J. Wells. 2004

202 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/cb21c90970145b607f5c3748926072e7f3618bb8

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Citations in the corpus

Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions (2017, background): “See Upper and Worms (2004) for German banks’ data and Wells (2004) for UK banks’ data.”
The statistical physics of real-world networks (2018, background): “A classical example is that of ﬁnancial networks: ﬁnancial institutions publicly disclose their aggregate exposures in their balance sheets, whereas, individual exposures ( who is lending to whom and how much ) remain conﬁdential [98–100].”
Funding Liquidity Risk in a Quantitative Model of Systemic Stability (2009, unknown): “19 The techniques adopted are similar to those discussed by Wells (2004), Elsinger et al (2006b) and OeNB (2006).”
Interbank Contagion in the Dutch Banking Sector (2004, methodology): “…model the structure of the inter-bank market and the following contagion risks have been carried out for several countries (Elsinger, Lehar, and Summer, forthcoming; Degryse and Nguyen 2004; Upper and Worms 2004; Mistrulli 2005; Bl˚avarg and Nimander 2002; Sheldon and Maurer 1998; and Wells 2004).”
Towards a Framework for Quantifying Systemic Stability (2012, methodology): “…Loop After accounting for counterparty credit losses and mark-to-market losses on net trading and other financial assets, we check for further 15The techniques adopted are similar to those discussed by Wells (2004), Elsinger, Lehar, and Summer (2006b), and Oesterreichische Nationalbank (2006).”
Mapping the UK interbank system. (2014, methodology): “Previously, analysts often filled gaps in observed networks using techniques such as maximum entropy, which attempts to estimate bilateral exposures from banks’ balance-sheet characteristics (Upper and Worms, 2004; Wells, 2004; Degryse and Nguyen, 2007; Alessandri et al, 2009).”
Simulation methods to assess the danger of contagion in interbank markets (2011, background): “For example, the British large exposures data analysed by Wells (2002, 2004) captures uncollateralized positions only and includes off-balance sheet exposures such as derivatives or contingent liabilities.”
Contagion in financial networks (2010, background): “Fur ne (2003) and Wells (2004) report relatively limited scope for contagion in the U.S. and U.K. banking systems.”