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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| Formato: | Final Year Project (FYP) |
| Idioma: | English |
| Publicado em: |
Nanyang Technological University
2022
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| Acesso em linha: | https://hdl.handle.net/10356/156939 |
| _version_ | 1826124154944880640 |
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| author | Quek, Jing Ting |
| author2 | Fedor Duzhin |
| author_facet | Fedor Duzhin Quek, Jing Ting |
| author_sort | Quek, Jing Ting |
| collection | NTU |
| 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. |
| first_indexed | 2024-10-01T06:16:02Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/156939 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T06:16:02Z |
| publishDate | 2022 |
| publisher | Nanyang Technological University |
| record_format | dspace |
| spelling | ntu-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 |
| spellingShingle | Science::Mathematics Quek, Jing Ting Temporal interbank market network: a multi-layered network approach |
| title | 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_short | Temporal interbank market network: a multi-layered network approach |
| title_sort | temporal interbank market network a multi layered network approach |
| topic | Science::Mathematics |
| url | https://hdl.handle.net/10356/156939 |
| work_keys_str_mv | AT quekjingting temporalinterbankmarketnetworkamultilayerednetworkapproach |