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Risques et fragilités des réseaux interbancaires

Abstract : The research considered in this dissertation concentrates on the issue of banking and interbanking system stability. It rises on the following question: what are the consequences of the existence and the architecture of interbank networks on the management of liquidity risk on the one hand, and, bankruptcy and systemic risk, on the other hand? It thus relies on recent improvements in both the theory of the stability of the banking system and network theory. We separate the issue of liquidity risk management (chapter 2 and 3) on the one side, and the issue of bankruptcy and systemic risk management on the other side (chapter 4).
To cope with uncertainty on liquidity demand distribution, banks have an interest in embedding in a network of interbank relations so as to exchange liquidity. They may thus reduce the amount of liquidity reserves and increase their investments in productive assets, which increases welfare. However, this result depends on the network architecture, on the number of its participants, and on the cost structure. To successfully manage liquidity risk, the network has to exhibit strict topological properties either in term of distance or regularity. Moreover, the speed at which fund are exchanged, the number of transactions and the rhythm at which illiquidity decreases, depends on the network architecture and the neighbourhood size.
We use a certain number of simple network indicators, so as to prove that the interbank architecture is not neutral on bankruptcy and systemic risk management. In the case of a small localized crisis, the length of the contagion process, the crisis depth, measured by the number of bankrupt banks, and the total amount of early liquidated assets, depends on the topology of the network. We highlight that the financial system fragility is an increasing function of the centrality and the connectivity of the network.
Taking into account the network topology (understood as its architecture) of interbank links enables thus to have a better understanding of both liquidity and systemic risk management.
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Sébastien Vivier-Lirimont. Risques et fragilités des réseaux interbancaires. Economies et finances. Université Panthéon-Sorbonne - Paris I, 2006. Français. ⟨tel-00136543⟩

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