Quantifying preferential trading in the e-MID interbank market

DOI10.1080/14697688.2014.969889zbMath1398.91686OpenAlexW2048488939MaRDI QIDQ4683030

Giulia Iori, Vasilis Hatzopoulos, Michele Tumminello, Salvatore Miccichè, Rosario Nunzio Mantegna

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/14055/1/paperEMID_12.pdf

zbMATH Keywords

interbank marketsstatistically validated networksinterbank ratespreferential links

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic network models in operations research (90B15)

Related Items (8)

Networked relationships in the e-MID interbank market: a trading model with memory ⋮ Interbank loans, collateral and modern monetary policy ⋮ The role of bank relationships in the interbank market ⋮ Dimensional reduction of solvency contagion dynamics on financial networks ⋮ Communication cliques in mobile phone calling networks ⋮ A statistical test of Walrasian equilibrium by means of complex networks theory ⋮ Reconstructing and stress testing credit networks ⋮ A dynamic network model with persistent links and node-specific latent variables, with an application to the interbank market

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• Network models and financial stability
• Simultaneous statistical inference. 2nd ed
• The role of bank relationships in the interbank market
• Contagion and risk-sharing on the inter-bank market
• Over-the-Counter Markets

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