Working Paper
Interbank tiering and money center banks
von Peter, Goetz; Craig, Ben R. (2009)
Interbank markets are tiered rather than flat, in the sense that many banks do not lend to each other directly but through money center banks which act as intermediaries. This paper captures the notion of tiering by designing a core-periphery model and develops a procedure for fitting an empirical network to this model. We find strong evidence of tiering for the German banking system, using bilateral interbank exposures among 1,800 banks. Moreover, bank-specific features, such as bank size, help explain how banks position themselves in the interbank market, suggesting that models with ...
Working Papers (Old Series) , Paper 0912

Working Paper
Interbank tiering and money center banks
von Peter, Goetz; Craig, Ben R. (2010)
This paper provides evidence that interbank markets are tiered rather than flat, in the sense that most banks do not lend to each other directly but through money center banks acting as intermediaries. We capture the concept of tiering by developing a core-periphery model, and devise a procedure for tting the model to real-world networks. Using Bundesbank data on bilateral interbank exposures among 1800 banks, we find strong evidence of tiering in the German banking system. Econometrically, bank-specific features, such as balance sheet size, predict how banks position themselves in the ...
Working Papers (Old Series) , Paper 1014

Working Paper
Filling in the Blanks: Network Structure and Interbank Contagion
von Peter, Goetz; Craig, Ben R.; Anand, Kartik (2014-10-02)
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding ...
Working Papers (Old Series) , Paper 1416