Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130753
Authors: 
Abbassi, Puriya
Brownlees, Christian
Hans, Christina
Podlich, Natalia
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 09/2016
Abstract: 
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank level for 2006-13 in conjunction with investments of banks at the security level and the credit register from Germany. We find asymmetries both cross-sectionally and over time: when banks face difficulties to raise funding, the interbank lending affects market-based bank interconnectedness. Moreover, banks with investments in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high-frequency bank fundamental data.
Subjects: 
Credit Risk
Networks
CDS
Interbank Lending
Portfolio Distance
JEL: 
C33
C53
E44
F36
G12
G14
G18
G21
ISBN: 
978-3-95729-244-5
Document Type: 
Working Paper

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