{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,20]],"date-time":"2025-12-20T21:45:29Z","timestamp":1766267129545},"reference-count":65,"publisher":"Springer Science and Business Media LLC","issue":"2-3","license":[{"start":{"date-parts":[[2013,4,4]],"date-time":"2013-04-04T00:00:00Z","timestamp":1365033600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2013,6]]},"DOI":"10.1007\/s10287-013-0168-4","type":"journal-article","created":{"date-parts":[[2013,4,3]],"date-time":"2013-04-03T16:05:30Z","timestamp":1365005130000},"page":"157-186","source":"Crossref","is-referenced-by-count":103,"title":["Assessing interbank contagion using simulated networks"],"prefix":"10.1007","volume":"10","author":[{"given":"Grzegorz","family":"Ha\u0142aj","sequence":"first","affiliation":[]},{"given":"Christoffer","family":"Kok","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2013,4,4]]},"reference":[{"key":"168_CR1","doi-asserted-by":"crossref","unstructured":"Adrian T, Brunnermeier M (2011) CoVaR. Working Paper 17454, NBER","DOI":"10.3386\/w17454"},{"key":"168_CR2","volume-title":"Handbook of Monetary Economics","author":"T Adrian","year":"2010","unstructured":"Adrian T, Shin HS (2010) Financial intermediaries and monetary economics. In: Friedman B, Woodford M (eds) Handbook of Monetary Economics. North-Holland, New York"},{"issue":"3","key":"168_CR3","doi-asserted-by":"crossref","first-page":"305","DOI":"10.1086\/296203","volume":"56","author":"J Aharony","year":"1983","unstructured":"Aharony J, Swary V (1983) Contagion effects of bank failures: evidence from capital markets. J Bus 56(3):305\u2013317","journal-title":"J Bus"},{"key":"168_CR4","doi-asserted-by":"crossref","unstructured":"Albert R, Jeong H, Barab\u00e1si A-L (2000) Error and attach tolerance of complex networks. Nature 406: 378\u2013382","DOI":"10.1038\/35019019"},{"key":"168_CR5","volume-title":"The network challenge: strategy, profit, and risk in an interlinked world","author":"F Allen","year":"2009","unstructured":"Allen F, Babus A (2009) Networks in finance. In: Kleindorfer P, Wind J (eds) The network challenge: strategy, profit, and risk in an interlinked world. Wharton School Publishing, Philadelphia"},{"issue":"1","key":"168_CR6","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1086\/262109","volume":"108","author":"F Allen","year":"2000","unstructured":"Allen F, Gale D (2000) Financial contagion. J Polit Econ 108(1):1\u201333","journal-title":"J Polit Econ"},{"key":"168_CR7","doi-asserted-by":"crossref","first-page":"509","DOI":"10.1126\/science.286.5439.509","volume":"268","author":"A-L Barab\u00e1si","year":"1999","unstructured":"Barab\u00e1si A-L, Albert R (1999) Emergence of scaling in random networks. Science 268:509\u2013512","journal-title":"Science"},{"key":"168_CR8","doi-asserted-by":"crossref","unstructured":"Battiston S, Gatti D, Gallegat M, Greenwald B, Stiglitz J (2012a) Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk. J Econ Dyn Control 36(8):1121\u20131141","DOI":"10.1016\/j.jedc.2012.04.001"},{"key":"168_CR9","doi-asserted-by":"crossref","unstructured":"Battiston S, Delli Gatti D, Gallegati M, Greenwald B, Stiglitz JE (2012b) Default cascades: when does risk diversification increase stability? J Financial Stab 8(3):138\u2013149","DOI":"10.1016\/j.jfs.2012.01.002"},{"key":"168_CR10","volume-title":"New approaches to monetary economics","author":"S Bhattacharya","year":"1987","unstructured":"Bhattacharya S, Gale D (1987) Preference shocks, liquidity and central bank policy. In: Barnett W, Singleton K (eds) New approaches to monetary economics. Cambridge University Press, New York"},{"key":"168_CR11","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/14697680400020325","volume":"4","author":"M Boss","year":"2004","unstructured":"Boss M, Elsinger H, Thurner S, Summer M (2004) Network topology of the interbank market. Quant Finance 4:1\u20138","journal-title":"Quant Finance"},{"issue":"3","key":"168_CR12","doi-asserted-by":"crossref","first-page":"689","DOI":"10.1023\/A:1022483715767","volume":"54","author":"D Bradley","year":"2002","unstructured":"Bradley D, Gupta R (2002) On the distribution of the sum of n non-identically distributed uniform random variables. Ann Inst Stat Math 54(3):689\u2013700","journal-title":"Ann Inst Stat Math"},{"issue":"1","key":"168_CR13","doi-asserted-by":"crossref","first-page":"77","DOI":"10.1257\/jep.23.1.77","volume":"23","author":"M Brunnermeier","year":"2009","unstructured":"Brunnermeier M (2009) Deciphering the liquidity and credit crunch 2007\u20138. J Econ Perspect 23(1):77\u2013100","journal-title":"J Econ Perspect"},{"issue":"5","key":"168_CR14","doi-asserted-by":"crossref","first-page":"2275","DOI":"10.1111\/j.1540-6261.2007.01275.x","volume":"65","author":"S Brusco","year":"2007","unstructured":"Brusco S, Castiglionesi F (2007) Liquidity coinsurancemoral hazard and financial contagion. J Finance 65(5):2275\u20132302","journal-title":"J Finance"},{"key":"168_CR15","doi-asserted-by":"crossref","unstructured":"Cappiello L, Gerard B, Manganelli S (2005) Measuring comovements by regression quantiles. Working paper 501, ECB","DOI":"10.2139\/ssrn.742507"},{"issue":"2\/3","key":"168_CR16","doi-asserted-by":"crossref","first-page":"556","DOI":"10.1162\/jeea.2005.3.2-3.556","volume":"3","author":"R Cifuentes","year":"2005","unstructured":"Cifuentes R, Ferrucci G, Shin HS (2005) Liquidity risk and contagion. J Eur Econ Assoc 3(2\/3):556\u2013566","journal-title":"J Eur Econ Assoc"},{"issue":"3","key":"168_CR17","doi-asserted-by":"crossref","first-page":"919","DOI":"10.1111\/j.1540-6261.1992.tb04000.x","volume":"47","author":"E Cooperman","year":"1992","unstructured":"Cooperman E, Lee W, Wolfe G (1992) The 1985 Ohio thrift crisis, FSLIC\u2019s solvency, and rate contagion for retail CDs. J Finance 47(3):919\u2013941","journal-title":"J Finance"},{"key":"168_CR18","unstructured":"Degryse H, Nguyen G (2007) Interbank exposures: an empirical examination of systemic risk in the Belgian banking system. Int J Central Bank 3(2):123\u2013171"},{"key":"168_CR19","doi-asserted-by":"crossref","unstructured":"Diebold FX, Yilmaz K (2011) On the network topology of variance decompositions: measuring the connectedness of financial firms. Working paper.","DOI":"10.3386\/w17490"},{"issue":"2","key":"168_CR20","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1016\/S0304-405X(96)00895-1","volume":"43","author":"D Docking","year":"1997","unstructured":"Docking D, Hirschey M, Jones V (1997) Information and contagion effects of bank loan-loss reserve announcements. J Financial Econ 43(2):219\u2013239","journal-title":"J Financial Econ"},{"issue":"40","key":"168_CR21","doi-asserted-by":"crossref","first-page":"14123","DOI":"10.1073\/iti4005102","volume":"102","author":"JC Doyle","year":"2005","unstructured":"Doyle JC, Alderson D, Li L, Low SH, Roughan M, Shalunov S, Tanaka R, Willinger W (2005) The \u201crobust yet fragile\u201d nature of the Internet. Proc Natl Acad Sci 102(40):14123\u201314475","journal-title":"Proc Natl Acad Sci"},{"key":"168_CR22","unstructured":"ECB. evaluating interconnectedness in the financial system on the basis of actual and simulated networks. Financial stability review special feature, European Central Bank, June 2012"},{"issue":"2","key":"168_CR23","doi-asserted-by":"crossref","first-page":"236","DOI":"10.1287\/mnsc.47.2.236.9835","volume":"47","author":"L Eisenberg","year":"2001","unstructured":"Eisenberg L, Noe TH (2001) Systemic risk in financial systems. Manag Sci 47(2):236\u2013249","journal-title":"Manag Sci"},{"issue":"4","key":"168_CR24","doi-asserted-by":"crossref","first-page":"367","DOI":"10.1198\/073500104000000370","volume":"22","author":"RF Engle","year":"2004","unstructured":"Engle RF, Manganelli S (2004) Caviar: conditional autoregressive value at risk by regression quantile. J Bus Econ Stat 22(4):367\u2013381","journal-title":"J Bus Econ Stat"},{"key":"168_CR25","unstructured":"Ferguson R, Hartmann P, Panetta F, Portes R (2007) International financial stability. Geneva report on the world economy, vol 9, CEPR"},{"key":"168_CR26","doi-asserted-by":"crossref","unstructured":"Flannery M (1996) Financial crises, payment system problems, and discount window lending. J Money Credit Bank 28(4):804\u2013824","DOI":"10.2307\/2077922"},{"issue":"3","key":"168_CR27","doi-asserted-by":"crossref","first-page":"611","DOI":"10.2307\/2601198","volume":"32","author":"X Freixas","year":"2000","unstructured":"Freixas X, Parigi BM, Rochet J-C (2000) Systemic risk, interbank relations, and liquidity provisions. J Money Credit Bank 32(3):611\u2013638","journal-title":"J Money Credit Bank"},{"key":"168_CR28","doi-asserted-by":"crossref","unstructured":"Furfine C (2003) Interbank exposures: quantifying the risk of contagion. J Money Credit Bank 35(1): 111\u2013638","DOI":"10.1353\/mcb.2003.0004"},{"key":"168_CR29","doi-asserted-by":"crossref","unstructured":"Gabrieli S (2011) The microstructure of the money market before and after the financial crisis: a network perspective. Research paper 181, CEIS.","DOI":"10.2139\/ssrn.1743512"},{"key":"168_CR30","doi-asserted-by":"crossref","unstructured":"Gai P, Haldane A, Kapadia S (2011) Complexity, concentration and contagion. J Monetary Econ 58(5): 453\u2013470","DOI":"10.1016\/j.jmoneco.2011.05.005"},{"key":"168_CR31","doi-asserted-by":"crossref","unstructured":"Garratt RJ, Mahadeva L, Svirydzenka K (2011) Mapping systemic risk in the international banking network. Working paper 413, Bank of England.","DOI":"10.2139\/ssrn.1786571"},{"key":"168_CR32","doi-asserted-by":"crossref","unstructured":"Geanakoplos J (2009) The leverage cycle. Cowles Foundation for Research in Economics, Yale University. Cowles Foundation Discussion Papers no. 1715","DOI":"10.2139\/ssrn.1441943"},{"key":"168_CR33","doi-asserted-by":"crossref","unstructured":"Georg C-P (2011) The effect of the interbank network structure on contagion and common shocks. Discussion paper series 2: banking and financial studies 2011, 12. Deutsche Bundesbank, Research Centre","DOI":"10.2139\/ssrn.2794071"},{"key":"168_CR34","unstructured":"Gropp R, Lo Duca M, Vesala J (2009) Cross-border contagion risk in Europe. In: Shin H, Gropp R (eds) Banking, development and structural change"},{"key":"168_CR35","unstructured":"Ha\u0142aj G (2012) Systemic bank valuation and interbank contagion. In: Kranakis E (ed) Advances in network analysis and applications. Proceedings of MITACS workshops, Springer series on mathematics in industry"},{"key":"168_CR36","doi-asserted-by":"crossref","unstructured":"Ha\u0142aj G, Kok Ch (2013) Assessing interbank contagion using simulated networks. Working paper series 1506, European Central Bank","DOI":"10.2139\/ssrn.2201644"},{"issue":"1","key":"168_CR37","doi-asserted-by":"crossref","first-page":"313","DOI":"10.1162\/003465304323023831","volume":"86","author":"P Hartmann","year":"2004","unstructured":"Hartmann P, Straetmans S, de Vries C (2004) Asset market linkages in crisis periods. Rev Econ Stat 86(1):313\u2013326","journal-title":"Rev Econ Stat"},{"key":"168_CR38","doi-asserted-by":"crossref","unstructured":"Hartmann P, Straetmans S, de Vries C (2005) Banking system stability: a cross-Atlantic perspective. Working paper 11698, NBER","DOI":"10.3386\/w11698"},{"key":"168_CR39","doi-asserted-by":"crossref","unstructured":"Heider F, Hoerova M, Holthausen C (2009) Liquidity hoarding and interbank market spreads. Working paper 1107, ECB","DOI":"10.2139\/ssrn.1343606"},{"key":"168_CR40","doi-asserted-by":"crossref","unstructured":"Holl\u00f3 D, Kremer M, Lo Duca M (2012) CISS\u2014a composite indicator of systemic stress in the financial system. Working paper series 1426, European Central Bank","DOI":"10.2139\/ssrn.1611717"},{"issue":"1","key":"168_CR41","doi-asserted-by":"crossref","first-page":"259","DOI":"10.1016\/j.jedc.2007.01.032","volume":"32","author":"G Iori","year":"2008","unstructured":"Iori G, De Masi G, Precup OV, Gabbi G, Caldarelli G (2008) A network analysis of the Italian overnight money market. J Econ Dyn Control 32(1):259\u2013278","journal-title":"J Econ Dyn Control"},{"key":"168_CR42","doi-asserted-by":"crossref","unstructured":"Karas A, Schoors KJL, Lanine G (2008) Liquidity matters: evidence from the Russian interbank market. Working paper, Ghent University","DOI":"10.2139\/ssrn.1304594"},{"issue":"2","key":"168_CR43","doi-asserted-by":"crossref","first-page":"28","DOI":"10.1257\/aer.90.2.28","volume":"90","author":"B Kho","year":"2000","unstructured":"Kho B, Lee D, Stulz R (2000) US banks, crises and bailouts: from Mexico to LTCM. Am Econ Rev 90(2):28\u201331","journal-title":"Am Econ Rev"},{"issue":"2","key":"168_CR44","doi-asserted-by":"crossref","first-page":"769","DOI":"10.1111\/1540-6261.00441","volume":"57","author":"LE Kodres","year":"2002","unstructured":"Kodres LE, Pritsker M (2002) A rational expectations model of financial contagion. J Finance 57(2):769\u2013799","journal-title":"J Finance"},{"key":"168_CR45","doi-asserted-by":"crossref","first-page":"247","DOI":"10.1016\/j.socnet.2005.07.002","volume":"28","author":"G Kossinets","year":"2006","unstructured":"Kossinets G (2006) Effects of missing data in social networks. Soc Netw 28:247\u2013268","journal-title":"Soc Netw"},{"issue":"2","key":"168_CR46","doi-asserted-by":"crossref","first-page":"649","DOI":"10.1111\/0022-1082.00340","volume":"56","author":"F Longin","year":"2001","unstructured":"Longin F, Solnik B (2001) Extreme correlation of international equity markets. J Finance 56(2):649\u2013676","journal-title":"J Finance"},{"key":"168_CR47","unstructured":"Lu L, Zhou T (2010) Link prediction in complex networks: a survey. CoRR abs\/1010.0725."},{"key":"168_CR48","doi-asserted-by":"crossref","first-page":"1114","DOI":"10.1016\/j.jbankfin.2010.09.018","volume":"35","author":"PE Mistrulli","year":"2011","unstructured":"Mistrulli PE (2011) Assessing financial contagion in the interbank market: maximum entropy versus observed interbank lending patterns. J Bank Finance 35:1114\u20131127","journal-title":"J Bank Finance"},{"issue":"1","key":"168_CR49","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1257\/mac.4.1.1","volume":"4","author":"S Morris","year":"2012","unstructured":"Morris S, Shin HS (2012) Contagious adverse selection. Am Econ J Macroecon 4(1):1\u201321","journal-title":"Am Econ J Macroecon"},{"key":"168_CR50","doi-asserted-by":"crossref","first-page":"209","DOI":"10.2307\/1992308","volume":"22","author":"J Musumeci","year":"1990","unstructured":"Musumeci J, Sinkey JF Jr (1990) The international debt crisis, investor contagion, and bank security returns in 1987. J Money Credit Bank 22:209\u2013220","journal-title":"J Money Credit Bank"},{"issue":"1","key":"168_CR51","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s11066-008-9008-z","volume":"9","author":"A Nagurney","year":"2008","unstructured":"Nagurney A, Qiang Q (2008) An efficiency measure for dynamic networks modeled as evolutionary variational inequalities with application to the internet and vulnerability analysis. Netnomics 9(1):1\u201320","journal-title":"Netnomics"},{"key":"168_CR52","volume-title":"Handbook of graphs and networks: from the genome to the internet","author":"MEJ Newman","year":"2005","unstructured":"Newman MEJ (2005) Random graphs as models of networks. In: Bornholdt S, Schuster HG (eds) Handbook of graphs and networks: from the genome to the internet. Wiley Publishing, New York"},{"issue":"6","key":"168_CR53","doi-asserted-by":"crossref","first-page":"2033","DOI":"10.1016\/j.jedc.2007.01.014","volume":"31","author":"E Nier","year":"2007","unstructured":"Nier E, Yang J, Yorulmazer T, Alentorn A (2007) Network models and financial stability. J Econ Dyn Control 31(6):2033\u20132060","journal-title":"J Econ Dyn Control"},{"key":"168_CR54","doi-asserted-by":"crossref","first-page":"141","DOI":"10.1016\/0378-4266(88)90055-6","volume":"12","author":"JW Peavy","year":"1988","unstructured":"Peavy JW, Hempel GH (1988) The Penn Square bank failure: effect on commercial bank security returns\u2014a note. J Bank Finance 12:141\u2013150","journal-title":"J Bank Finance"},{"key":"168_CR55","unstructured":"Polson NG, Scott JG (2011) Explosive volatility: a model of financial contagion. Working paper"},{"issue":"4","key":"168_CR56","doi-asserted-by":"crossref","first-page":"733","DOI":"10.2307\/2077918","volume":"28","author":"J-C Rochet","year":"1996","unstructured":"Rochet J-C, Tirole J (1996) Interbank lending and systemic risk. J Money Credit Bank 28(4):733\u2013762","journal-title":"J Money Credit Bank"},{"issue":"2","key":"168_CR57","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1037\/1082-989X.7.2.147","volume":"7","author":"JL Schaefer","year":"2002","unstructured":"Schaefer JL, Graham JW (2002) Missing data: our view of the state of the art. Psychol Methods 7(2):147\u2013177","journal-title":"Psychol Methods"},{"issue":"2","key":"168_CR58","doi-asserted-by":"crossref","first-page":"197","DOI":"10.1016\/S0304-405X(99)00036-7","volume":"54","author":"M Slovin","year":"1999","unstructured":"Slovin M, Sushka ME, Polonchek J (1999) An analysis of contagion and competitive effects at commercial banks. J Financial Econ 54(2):197\u2013225","journal-title":"J Financial Econ"},{"key":"168_CR59","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1086\/296401","volume":"60","author":"M Smirlock","year":"1987","unstructured":"Smirlock M, Kaufold H (1987) Bank foreign lending, mandatory disclosure rules, and the reaction of bank stock prices to the Mexican debt crisis. J Bus 60:347\u2013364","journal-title":"J Bus"},{"key":"168_CR60","doi-asserted-by":"crossref","first-page":"317","DOI":"10.1016\/j.physa.2006.11.093","volume":"379","author":"K Soramaki","year":"2007","unstructured":"Soramaki K, Bech ML, Arnold J, Glass RJ, Beyeler WE (2007) The topology of interbank payment flows. Physica A 379:317\u2013333","journal-title":"Physica A"},{"issue":"4","key":"168_CR61","doi-asserted-by":"crossref","first-page":"827","DOI":"10.1016\/j.euroecorev.2003.12.009","volume":"48","author":"C Upper","year":"2004","unstructured":"Upper C, Worms A (2004) Estimating bilateral exposures in the German interbank market: is there a danger of contagion? Eur Econ Rev 48(4):827\u2013849","journal-title":"Eur Econ Rev"},{"key":"168_CR62","unstructured":"van Lelyveld I, Liedorp F (2006) Interbank contagion in the Dutch banking sector: a sensitivity analysis. Int J Central Bank 2(2):99\u2013133"},{"key":"168_CR63","unstructured":"von Goetz P (2007) International banking centres: a network perspective. BIS Q Rev 33\u201345"},{"key":"168_CR64","doi-asserted-by":"crossref","unstructured":"Wall LD, Peterson DR (1990) The effect of Continental Illinois\u2019 failure on the financial performance of other banks. J Monetary Econ 26(1):77\u201399","DOI":"10.1016\/0304-3932(90)90032-Y"},{"key":"168_CR65","unstructured":"White H, Kim T-H, Manganelli S (2010) VAR for VaR: measuring systemic risk using multivariate regression quantiles. Working paper"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-013-0168-4.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10287-013-0168-4\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-013-0168-4","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,2,12]],"date-time":"2022-02-12T23:09:11Z","timestamp":1644707351000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10287-013-0168-4"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,4,4]]},"references-count":65,"journal-issue":{"issue":"2-3","published-print":{"date-parts":[[2013,6]]}},"alternative-id":["168"],"URL":"https:\/\/doi.org\/10.1007\/s10287-013-0168-4","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,4,4]]}}}