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Systemic risk in the interbank market with overlapping portfolios and cross-ownership of the subordinated debts

  • Published:2021-01 Issue: Volume:562 Page:125355
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Jiang Shanshan,Fan Hong

Funder

National Natural Science Foundation of PR China

Natural Science Foundation of Shanghai, China

Fundamental Research Funds for the Central Universities, China

Donghua University, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference34 articles.

1. An analysis of the literature on systemic financial risk: A survey;Silva;J. Financ. Stab.,2016

2. The consequences of liquidity imbalance: When net lenders leave interbank markets;Hryckiewicz,2018

3. Bank multiplex networks and systemic risk;Li;Physica A,2019

4. Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns;Mistrulli;J. Bank. Financ.,2011

5. Financial contagion;Allen;J. Pol. Econ.,2000

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