van Lelyveld, Iman and Liedorp, Franka and Pröpper, Marc (2008): Stress Testing Linkages between Banks in the Netherlands. Forthcoming in: Stress Testing the Banking System: methodologies and applications No. Quagliariello, Mario (editor), Cambridge University Press (forthcoming)
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Assessing the stability of the financial sector is becoming more common in many countries. This paper presents two useful approaches, applied to the Netherlands. First we discuss the results of a contagion analysis of the Dutch interbank market. We use various ways to measure linkages between banks and find that the interbank market is fairly robust. We then turn to a network analysis of payment flows between Dutch banks. This analysis provides us with a better understanding of the network structure in this type of market. We specifically look at the effect of the recent turmoil on the payment network and find no significant changes.
|Item Type:||MPRA Paper|
|Original Title:||Stress Testing Linkages between Banks in the Netherlands|
|Keywords:||interbank, payment, systemic risk, financial stability, network, topology|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
G - Financial Economics > G2 - Financial Institutions and Services
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
|Depositing User:||Iman van Lelyveld|
|Date Deposited:||20. Aug 2008 02:54|
|Last Modified:||12. Feb 2013 11:28|
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