The Brazilian Interbank Network Structure and Systemic Risk

Edson Santos and Rama Cont

No 219, Working Papers Series from Central Bank of Brazil, Research Department

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.

Date: 2010-10
New Economics Papers: this item is included in nep-ban and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (74)

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps219.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:219

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().