Mapping the UK interbank system

Langfield, Sam; Liu, Zijun; Ota, Tomohiro

doi:10.1016/j.jbankfin.2014.03.031

Cited by 183 publications

(75 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Finger et al (2013) analysed the network properties of the electronic market for interbank deposits (eMID) at various temporal scales of data aggregation, showing that the network appears random at the daily level, but contains significant non-random structures for longer aggregation periods. Several empirical studies further reported that interbank markets have a core-periphery (or tiered) structure, featuring a core of highly interconnected banks and a periphery of banks connected mostly to the core but not to other peripheral banks (Bech and Atalay, 2010;Craig and Von Peter, 2014;Fricke and Lux, 2015;Iori et al, 2008;Langfield et al, 2014;Martinez-Jaramillo et al, 2014;Silva et al, 2016;Soramäki et al, 2007;Veld and van Lelyveld, 2014). Craig and Von Peter (2014) argued that tiering derives from core banks acting as intermediaries between periphery banks and thus holding together the interbank market.…”

Section: Introductionmentioning

confidence: 99%

Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis

Kojaku¹,

Cimini²,

Caldarelli³

et al. 2018

JNTF

View full text Add to dashboard Cite

Interbank markets are often characterised in terms of a core-periphery network structure, with a highly interconnected core of banks holding the market together, and a periphery of banks connected mostly to the core but not internally. This paradigm has recently been challenged for short time scales, where interbank markets seem better characterised by a bipartite structure with more core-periphery connections than inside the core. Using a novel core-periphery detection method on the eMID interbank market, we enrich this picture by showing that the network is actually characterised by multiple core-periphery pairs. Moreover, a transition from core-periphery to bipartite structures occurs by shortening the temporal scale of data aggregation. We further show how the global financial crisis transformed the market, in terms of composition, multiplicity and internal organisation of core-periphery pairs. By unveiling such a fine-grained organisation and transformation of the interbank market, our method can find important applications in the understanding of how distress can propagate over financial networks. Key messages• We study the eMID interbank market using a novel core-periphery detection method to unveil its high-order network organization.• We reveal multiple core-periphery pairs, and detect both tiered and bow-tie (bipartite) structures.• We reveal a topological transition of the market at the global financial crisis, in terms of network segregation and organization. *

show abstract

Section: Introductionmentioning

confidence: 99%

Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis

Kojaku¹,

Cimini²,

Caldarelli³

et al. 2018

JNTF

View full text Add to dashboard Cite

show abstract

“…Through network structures, the credit risk is the important one in the interbank system (Langfield et al, 2014), similar to with Langfield et al (2014) in the analysis of both the interbank lending and the interbank debt. My model includes a regressor for the interbank lending adjustment.…”

Section: Ho Thanh Tungmentioning

confidence: 84%

Adjustment of interbank lending in pre- and post-regulation periods: Empirical analysis of Vietnamese commercial banks

Tung

2017

Journal of International Studies

View full text Add to dashboard Cite

Abstract.This article aims to analyze the interbank lending adjustment during the period when Vietnamese commercial banks are compliant with some parts of the Basel regulation framework. A pilot regulation period has started in 2011 and full application will be effective by the end of 2018. Partial adjustment models and variance decomposition are used for the analyses. In the analysis of the quarterly released financial statements of Vietnamese commercial banks in the period from 2008/Q1 to 2015/Q4, the empirical evidence showed that throughout the period, lending to non-bank and high liquidity assets contributed to the adjustment in both long run and short run with a negative association. In addition, the loan loss allowance contributed to the adjustment in the post-regulation period only with a positive association. These highly contributing factors also show a potential shock after the adjustment of the interbank lending. The results imply there is a need for interbank lending portfolio report and an efficient control over the IRB of Vietnamese commercial banks.

show abstract

“…The network has a core-periphery structure in the sense that the first five banks form a complete network where all possible lending relationships are present, and each of these core banks has further borrowed money from 19 different periphery banks. We refer to the papers Elsinger et al (2006), Cont et al (2013), Craig and von Peter (2014) and Langfield et al (2014) for empirical evidence of such structures in real banking networks. The time horizon in our example is T = 1 year, all interest rates are zero, and we assume statistical equality among all core banks and among all periphery banks:…”

Section: Computation Of Default Probabilitiesmentioning

confidence: 99%

“…In addition to the mainly theoretical contributions mentioned above, a lot of empirical work has been carried out, see e.g. Elsinger et al (2006), Cont et al (2013), Craig and von Peter (2014) and Langfield et al (2014) for applications to central bank data from the Austrian, Brazilian, German and UK banking system, respectively. Furthermore, apart from work based on variations of the Eisenberg and Noe (2001) model, there are also other network-based approaches to systemic risk.…”

Section: Introductionmentioning

confidence: 99%

Contagion in Financial Systems: A Bayesian Network Approach

Chong¹,

Klüppelberg²

2018

SIAM J. Finan. Math.

View full text Add to dashboard Cite

We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies. Particular emphasis is given to the treatment and consequences of cyclic financial linkages. We further demonstrate how Bayesian network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of selected entities on others, and to compute conditional or unconditional probabilities of default for single or multiple institutions.

show abstract

Mapping the UK interbank system

Cited by 183 publications

References 29 publications

Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis

Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis

Adjustment of interbank lending in pre- and post-regulation periods: Empirical analysis of Vietnamese commercial banks

Contagion in Financial Systems: A Bayesian Network Approach

Contact Info

Product

Resources

About