The Brazilian Interbank Network Structure and Systemic Risk (Bastos e Santos E., Cont R.)

Interbank Markets Risk-taking and Risk Management

Abstract We explore the structure and dynamics of interbank exposures in Brazil using a unique data set of all mutual exposures of financial institutions in Brazil, as well as their capital reserves, at various periods in 2007 and 2008. We show that the network of exposures can be adequately modeled as a directed scale-free (weighted) graph with heavy-tailed degree and weight distributions. We also explore the relationship between connectivity of a financial institution and its capital buffer. Finally, we use the network structure to explore the extent of systemic risk generated in the system by the individual institutions.
External link Download
Libref/ Bastos e Santos E., Cont R. (2010) "The Brazilian Interbank Network Structure and Systemic Risk", Central Bank of Brazil Working Paper No. 219, pp. 1 - 55
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.