This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured, i.e. repo transactions, in order to facilitate the flow of funds to the most profitable investment projects. Our model confirms basic stylized facts on (i) bank balance sheet distributions (ii) interbank interest rates and (iii) interbank lending volumes, for both the secured and the unsecured market segments. We also find that network structures within the secured market segment are characterized by the presence of dealer banks, while we do not observe similar patterns in the unsecured market. We perturb the model with exogenous shocks and policy scenarios which correspond to unconventional monetary policies. The results suggest that the quality of collateral affects the performance of the repo market and that a central bank forward guidance policy restores confidence in the markets and reduces bank failures. Moreover, the model suggests that if supervisory authorities reduce capital requirements, banks boost their leverage, which translates into a higher financial risk and, as a result, a larger number of bank failures. Finally, the model indicates that reduced availability of collateral reduces the size of the interbank market and therefore limits the direct interbank risk exposure, which contributes to a lower number of bankruptcies in the system. (joint with Michiel van de Leur)