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

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  • Berlinger, Edina

Abstract

A new measure called “implicit rating” is introduced as a potential component of an early warning system. It relies on the aggregation of experts’ knowledge hidden in transactional data of the interbank market of unsecured loans. Banks simultaneously assess each other's creditworthiness which is reflected in partner limits and interest rates. In the Hungarian interbank market the overall trading volume and the average interest rate showed no 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 both at system and bank level.

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  • Berlinger, Edina, 2017. "Implicit rating: A potential new method to alert crisis on the interbank lending market," Finance Research Letters, Elsevier, vol. 21(C), pages 277-283.
    • Handle: RePEc:eee:finlet:v:21:y:2017:i:c:p:277-283
    DOI: 10.1016/j.frl.2016.11.010
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    Cited by:

    1. Berlinger, Edina & Dömötör, Barbara & Daróczi, Gergely & Vadász, Tamás, 2017. "Pénzügyi hálózatok mag-periféria szerkezete. A magyar bankközi fedezetlen hitelek piaca, 2003-2012 [The core periphery structure of financial networks: investigating Hungary s interbank deposit mar," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 1160-1185.
    2. Dömötör, Barbara & Ölvedi, Tímea, 2021. "A személyközi hitelezés létjogosultsága a pénzügyi közvetítésben [The relevance of peer-to-peer lending in financial intermediation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 773-793.

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    More about this item

    Keywords

    Financial crisis; Credit rationing; Counterparty risk; Partner limits; Network analysis;
    All these keywords.

    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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