MODELLING OF INTERBANK PAYMENTS
نویسندگان
چکیده
منابع مشابه
A Model of Interbank Settlement
A settlement system is a set of rules and procedures that govern when and how funds are transferred between banks in order to finalize their customers’ transactions. Perhaps the most crucial feature of such a system is the frequency with which settlement occurs. A lower frequency allows banks to retain fewer idle reserves, and therefore economizes on financial opportunity costs. However, the ac...
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We study a credit network and, in particular, an interbank system with an agent-based model. To understand the relationship between business cycles and cascades of bankruptcies, we model a three-sector economy with goods, credit and interbank market. In the interbank market, the participating banks share the risk of bad debits, which may potentially spread a bank's liquidity problems through th...
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We use the term structure of spreads between rates on interest rate swaps indexed to LIBOR and overnight indexed swaps to infer a term structure of interbank risk. We develop a dynamic term structure model with default risk in the interbank market that, in conjunction with information from the credit default swap market, allows us to decompose the term structure of interbank risk into default a...
متن کاملCascades in real interbank markets
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock size and connectivity. Further results indicate that the ability to limit default risk by spreading th...
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This paper proposes a new methodology based on non-negative matrix factorization to detect communities and to identify central nodes in a network as well as within communities. The method is specifically designed for directed weighted networks and, consequently, it has been applied to the interbank network derived from the e-MID interbank market. In an interbank network indeed links are directe...
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ژورنال
عنوان ژورنال: Technological and Economic Development of Economy
سال: 2006
ISSN: 2029-4913,2029-4921
DOI: 10.3846/13928619.2006.9637753