Search results for "interbank market"

showing 3 items of 3 documents

The multiplex structure of interbank networks

2013

The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a po…

Financial economicsComputer scienceNetwork theoryjel:C4901 natural sciencesjel:G21FOS: Economics and businessInterbank marketInterbank network0502 economics and business0103 physical sciencesSystemic riskSystemic riskEconometrics050207 economicsLayer (object-oriented design)010306 general physicsjel:E51Principle of maximum entropy05 social sciencesRepresentation (systemics)Maturity (finance)interbank market network theory systemic riskNetwork theoryInterbank lending marketGeneral Finance (q-fin.GN)Quantitative Finance - General FinanceGeneral Economics Econometrics and FinanceFinance
researchProduct

Networked relationships in the e-MID Interbank market: A trading model with memory

2014

Interbank markets are fundamental for bank liquidity management. In this paper, we introduce a model of interbank trading with memory. Our model reproduces features of preferential trading patterns in the e-MID market recently empirically observed through the method of statistically validated networks. The memory mechanism is used to introduce a proxy of trust in the model. The key idea is that a lender, having lent many times to a borrower in the past, is more likely to lend to that borrower again in the future than to other borrowers, with which the lender has never (or has in- frequently) interacted. The core of the model depends on only one parameter representing the initial attractiven…

Economics and EconometricsControl and OptimizationComputer scienceHBJava/MasonMicroeconomicsFOS: Economics and businessInterbank marketOrder (exchange)Statistically validated networkEconometricsEconomicsNetwork formationProxy (statistics)Structure (mathematical logic)Statistical Finance (q-fin.ST)Applied MathematicsQuantitative Finance - Statistical FinanceLiquidity riskVariety (cybernetics)Network formationCore (game theory)Reciprocity (network science)Interbank lending marketQuantitative Finance - General FinanceGeneral Finance (q-fin.GN)
researchProduct

Quantifying preferential trading in the e-MID interbank market

2015

Interbank markets allow credit institutions to exchange capital for purposes of liquidity management. These markets are among the most liquid markets in the financial system. However, liquidity of interbank markets dropped during the 2007-2008 financial crisis, and such a lack of liquidity influenced the entire economic system. In this paper, we analyze transaction data from the e-MID market which is the only electronic interbank market in the Euro Area and US, over a period of eleven years (1999-2009). We adapt a method developed to detect statistically validated links in a network, in order to reveal preferential trading in a directed network. Preferential trading between banks is detecte…

Preferential linkStatistically validated networksFinancial economicsMonetary economicscomputer.software_genreLiquidity riskHJSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)Market liquidityInterbank marketOrder (exchange)Financial crisisEconomicsDark liquidityInterbank rateInterbank lending marketHigh-frequency tradingAlgorithmic tradingGeneral Economics Econometrics and FinancecomputerFinanceQuantitative Finance
researchProduct