Temporal interbank market network: a multi-layered network approach

Despite the interbank market playing a pivotal role in facilitating liquidity provision among banks, it might also result in possible pathways of contagion, which might, in turn, lead to the consequent failing of banks and the system as a whole. In this paper, we model cascades of collapses in inter...

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Main Author: Quek, Jing Ting
Other Authors: Fedor Duzhin
Format: Final Year Project
Language:English
Published: Nanyang Technological University 2022
Subjects:
Online Access:https://hdl.handle.net/10356/156939
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1569392023-02-28T23:15:58Z Temporal interbank market network: a multi-layered network approach Quek, Jing Ting Fedor Duzhin School of Physical and Mathematical Sciences FDuzhin@ntu.edu.sg Science::Mathematics Despite the interbank market playing a pivotal role in facilitating liquidity provision among banks, it might also result in possible pathways of contagion, which might, in turn, lead to the consequent failing of banks and the system as a whole. In this paper, we model cascades of collapses in interbank lending networks using simulations and study the extent and length of contagion effects. We found that network stability depends on various factors such as the network structure, the initial network coherence and the type of bank experiencing the initial shock. To examine the disentangled effects of individual types of interconnections in the interbank market, multi-layer network analysis was conducted, with the results showing the significance of interactions between network layers. These findings have important policy implications, an example is it may be worthwhile to monitor the changes in measures (network structure, choice of node to default, network incoherence) of interbank network stability. Bachelor of Science in Mathematical Sciences and Economics 2022-04-29T05:19:22Z 2022-04-29T05:19:22Z 2022 Final Year Project (FYP) Quek, J. T. (2022). Temporal interbank market network: a multi-layered network approach. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/156939 https://hdl.handle.net/10356/156939 en application/pdf Nanyang Technological University
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Science::Mathematics
spellingShingle Science::Mathematics
Quek, Jing Ting
Temporal interbank market network: a multi-layered network approach
description Despite the interbank market playing a pivotal role in facilitating liquidity provision among banks, it might also result in possible pathways of contagion, which might, in turn, lead to the consequent failing of banks and the system as a whole. In this paper, we model cascades of collapses in interbank lending networks using simulations and study the extent and length of contagion effects. We found that network stability depends on various factors such as the network structure, the initial network coherence and the type of bank experiencing the initial shock. To examine the disentangled effects of individual types of interconnections in the interbank market, multi-layer network analysis was conducted, with the results showing the significance of interactions between network layers. These findings have important policy implications, an example is it may be worthwhile to monitor the changes in measures (network structure, choice of node to default, network incoherence) of interbank network stability.
author2 Fedor Duzhin
author_facet Fedor Duzhin
Quek, Jing Ting
format Final Year Project
author Quek, Jing Ting
author_sort Quek, Jing Ting
title Temporal interbank market network: a multi-layered network approach
title_short Temporal interbank market network: a multi-layered network approach
title_full Temporal interbank market network: a multi-layered network approach
title_fullStr Temporal interbank market network: a multi-layered network approach
title_full_unstemmed Temporal interbank market network: a multi-layered network approach
title_sort temporal interbank market network: a multi-layered network approach
publisher Nanyang Technological University
publishDate 2022
url https://hdl.handle.net/10356/156939
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