Untitled

Summer, Martin

doi:10.1023/a:1021299202181

Cited by 24 publications

(1 citation statement)

References 50 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Indeed in the economic literature financial crises that have hit countries all around the globe have led to a boom of papers on banking-crises, financial risk-analysis and to numerous policy initiatives to improve financial stability. One of the major concerns in these debates is the danger of so called systemic risk: the large scale breakdown of financial intermediation due to domino effects of insolvency [4,5]. The network of mutual credit relations between financial institutions is supposed to play a key role in the risk for contagious defaults.…”

mentioning

confidence: 99%

Network topology of the interbank market

Boss

Elsinger

Summer

et al. 2004

Quantitative Finance

Self Cite

717

446

View full text Add to dashboard Cite

We provide an empirical analysis of the network structure of the Austrian interbank market based on Austrian Central Bank (OeNB) data. The interbank market is interpreted as a network where banks are nodes and the claims and liabilities between banks define the links. This allows us to apply methods from general network theory. We find that the degree distributions of the interbank network follow power laws. Given this result we discuss how the network structure affects the stability of the banking system with respect to the elimination of a node in the network, i.e. the default of a single bank. Further, the interbank liability network shows a community structure that exactly mirrors the regional and sectoral organization of the current Austrian banking system. The banking network has the typical structural features found in numerous other complex real-world networks: a low clustering coefficient and a short average path length. These empirical findings are in marked contrast to the network structures that have been assumed thus far in the theoretical economic and econo-physics literature.

show abstract

mentioning

confidence: 99%

Network topology of the interbank market

Boss

Elsinger

Summer

et al. 2004

Quantitative Finance

Self Cite

717

446

View full text Add to dashboard Cite

show abstract

Contagion Flow through Banking Networks

Boss

Summer

Thurner

2004

Computational Science - ICCS 2004

Self Cite

View full text Add to dashboard Cite

Abstract.Starting from an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes in variables like interest rates, exchange rates, etc. We demonstrate that the system is relatively stable in the sence that defaults of individual banks are unlikely to spread over the entire network. We study the contagion impact of all individual banks, meaning the number of banks which are driven into insolvency as a result of a single bank's default. We show that the vertex betweenness of individual banks is linearly related to their contagion impact.

show abstract