Systemic illiquidity in the interbank network

DOI10.1080/14697688.2019.1612083zbMath1429.91336OpenAlexW3122095805MaRDI QIDQ5212057

Tomohiro Ota, Gerardo Ferrara, Zijun Liu, Sam Langfield

Publication date: 24 January 2020

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

Full work available at URL: https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp86.en.pdf

zbMATH Keywords

dynamic programmingsystemic riskcontagion modelsliquidity modelling

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (3)

Clearing payments in dynamic financial networks ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ Interbank Clearing in Financial Networks with Multiple Maturities

Cites Work

• Network models and financial stability
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Systemic Risk in Financial Systems
• Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities
• Bank Runs, Deposit Insurance, and Liquidity
• Filling in the blanks: network structure and interbank contagion

This page was built for publication: Systemic illiquidity in the interbank network