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dc.contributor.authorSaltoglu, Burak
dc.contributor.authorYenilmez, Taylan
dc.date.accessioned2021-03-04T18:54:44Z
dc.date.available2021-03-04T18:54:44Z
dc.date.issued2015
dc.identifier.citationSaltoglu B., Yenilmez T., "When does low interconnectivity cause systemic risk?", QUANTITATIVE FINANCE, cilt.15, ss.1933-1942, 2015
dc.identifier.issn1469-7688
dc.identifier.othervv_1032021
dc.identifier.otherav_8d2c264d-c339-43b7-8bee-91c92081c414
dc.identifier.urihttp://hdl.handle.net/20.500.12627/95440
dc.identifier.urihttps://doi.org/10.1080/14697688.2015.1043331
dc.description.abstractWe analysed a systemic liquidity crisis by using a unique money market data-set in which the coded identity of the counterparties of each trade is known. Contrary to recent findings, we did not observe a positive relationship between interconnectivity and systemic risk. We have concluded that our conflicting findings can be related to the degree of market concentration on the borrowing side of the funding market. High level of concentration in the borrowing side led to lower interconnectivity but higher systemic risk prior to the crisis. We conclude that measures of market heterogeneity should be used to generalize the relationship between systemic risk and interconnectivity.
dc.language.isoeng
dc.subjectTemel Bilimler (SCI)
dc.subjectSOSYAL BİLİMLER, MATEMATİK YÖNTEMLER
dc.subjectSosyal Bilimler Genel
dc.subjectSosyal ve Beşeri Bilimler
dc.subjectSosyoloji
dc.subjectİktisat
dc.subjectÇalışma Ekonomisi ve Endüstri ilişkileri
dc.subjectÇalışma Ekonomisi
dc.subjectMATEMATİK, İNTERDİSKÜP UYGULAMALAR
dc.subjectMatematik
dc.subjectEKONOMİ
dc.subjectSosyal Bilimler (SOC)
dc.subjectEkonomi ve İş
dc.subjectİŞ FİNANSI
dc.titleWhen does low interconnectivity cause systemic risk?
dc.typeMakale
dc.relation.journalQUANTITATIVE FINANCE
dc.contributor.departmentBoğaziçi Üniversitesi , ,
dc.identifier.volume15
dc.identifier.issue12
dc.identifier.startpage1933
dc.identifier.endpage1942
dc.contributor.firstauthorID411562


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