Piotr Ochnicki

University of Warsaw - Faculty of Physics

Hoza 69

Warsaw, Pl-00681

Poland

  • University of Warsaw - Faculty of Physics

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Can banks default overnight? Modeling endogenous contagion on O/N interbank market

Number of pages: 28 Posted: 21 Dec 2015 Last Revised: 25 Mar 2016
Paweł Smaga, Mateusz Wiliński, Piotr Ochnicki, Piotr Arendarski and Tomasz Gubiec
Warsaw School of Economics (SGH) - Department of Finance and Management, University of Warsaw - Faculty of Physics, University of Warsaw - Faculty of Physics, Poznan University of Economics and University of Warsaw - Faculty of Physics
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Abstract:

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contagion, interbank market, network analysis, systemic risk, quantitative easing, macroprudential policy