Systemic illiquidity in the interbank network

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Failure and Rescue in an Interbank Network

This paper is concerned with systemic risk in the interbank market. We model this market as a directed graph in which the banks represent the nodes and the liabilities between the banks represent the edges. Our work builds on the modelling paradigm of Eisenberg and Noe (2001), extending it by introducing default costs in the system. We provide a rigorous analysis of those situations in which ba...

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ژورنال

عنوان ژورنال: Quantitative Finance

سال: 2019

ISSN: 1469-7688,1469-7696

DOI: 10.1080/14697688.2019.1612083