Implicit rating: A potential new method to alert crisis on the interbank lending market

Berlinger, Edina (2016) Implicit rating: A potential new method to alert crisis on the interbank lending market. Working Paper. Corvinus University of Budapest Faculty of Economics.

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A new measure called “implicit rating” is introduced which might be a component of an early warning system. The proposed methodology relies on the aggregation of experts’ knowledge hidden in the transactional data of the interbank market of unsecured loans. Banks are simultaneously assessing the creditworthiness of each other which is reflected in the partner limits and in the interest rates. In the Hungarian interbank market the overall trading volume and the average interest rate did not show any negative trends before the crisis of 2008, however the average implicit partner limit started to decrease several months earlier, hence it might serve as a stress indicator.

Item Type:Monograph (Working Paper)
Series Name:Corvinus Economics Working Papers - CEWP
Series Number / Identification Number:2016/04
Uncontrolled Keywords:financial crisis, credit rationing, counterparty risk, partner limits, risk adjusted interest rate, network analysis
JEL classification:D85 - Information, Knowledge, and Uncertainty: Network Formation and Analysis: Theory
E42 - Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
G01 - Financial Crises
G15 - International Financial Markets
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Funders:National Bank of Hungary
ID Code:2203
Deposited By: Ádám Hoffmann
Deposited On:26 Jan 2016 08:40
Last Modified:26 Jan 2016 08:40

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