Interbank Exposures: Quantifying the Risk of Contagion

By Craig Furfine. 2003

751 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/efa804dc34c4ddb2d19bc0beff1b09492c335f6e

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Citations in the corpus

Assessing Financial Contagion in the Interbank Market: Maximum Entropy Versus Observed Interbank Lending Patterns (2011, positive): “6 Cocco et al. (2003) find evidence supporting the existence of lending relationships in the interbank market for overnight funds.”
Financial Interlinkages in the United Kingdom's Interbank Market and the Risk of Contagion (2004, background): “Furfine (1999), for example, identifies all bilateral interbank Federal Funds exposures between US banks for a two-month period in 1998.”
Simulation methods to assess the danger of contagion in interbank markets (2011, methodology): “Furfine (2003) and Müller (2006) have looked at the role of liquidity in the contagion process, although their scenarios differ considerably.”
Climate risk and financial stability in the network of banks and investment funds (2020, neutral): “For some parameter choices, NEVA is equivalent to some of the best known contagion algorithms like the Eisenberg and Noe 2001, the default cascades Furfine 2003, Rogers and Veraart 2013 and Bardoscia et al. 2015.”
Network Models and Financial Stability (2007, neutral): “(8) As we do, much of the existing empirical literature on interbank linkages focuses on the consequences of a shock to a single bank when tracing through the consequences of that shock for other banks in the system, eg Sheldon and Maurer (1998), Furfine (1999), Upper and Worms (2004), Wells (2002).”
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”
Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, background): “24Among others, Sheldon and Maurer (1998), Furfine (2003), Upper and Worms (2002), and Wells (2002) estimate the matrix of bilateral exposure among banks for Switzerland, the U.S., Germany and the U.K., respectively.”
Financial Crises: Theory and Evidence (2009, neutral): “Gai and Kapadia (2007) develop a model of contagion in financial networks and use similar techniques as the epidemiological literature on spread of disease in networks to assess the fragility of the financial system.”
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).”
Transmission channels of systemic risk and contagion in the European financial network (2015, neutral): “Hence, similar to Furfine (2003), Gai and Kapadia (2010) and Gai et al.”
Stress-testing Financial Systems: An Overview of Current Methodologies (2004, background): “A second set of papers has focused on estimating a matrix of actual interbank exposures and then simulating the impact on the system of the failure of one or more banks.26 Examples include Sheldon and Mauer (1998) for the Swiss banking system, Wells (2002) for the UK, Blavarg and Nimander (2002) for”