Shock amplification in an interconnected financial system of banks and investment funds
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Cited by:
- Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
- Gourdel, Régis & Sydow, Matthias, 2022. "Non-banks contagion and the uneven mitigation of climate risk," Working Paper Series 2757, European Central Bank.
- Giovanni di Iasio & Spyridon Alogoskoufis & Simon Kordel & Dominika Kryczka & Giulio Nicoletti & Nicholas Vause, 2022.
"A model of system-wide stress simulation: market-based finance and the Covid-19 event,"
Questioni di Economia e Finanza (Occasional Papers)
687, Bank of Italy, Economic Research and International Relations Area.
- di Iasio, Giovanni & Alogoskoufis, Spyridon & Kördel, Simon & Kryczka, Dominika & Nicoletti, Giulio & Vause, Nicholas, 2022. "A model of system-wide stress simulation: market-based finance and the Covid-19 event," Working Paper Series 2671, European Central Bank.
- Nicoletti, Giulio & Rariga, Judit & Rodriguez d’Acri, Costanza, 2024. "Spare tyres with a hole: investment funds under stress and credit to firms," Working Paper Series 2917, European Central Bank.
- Hasman, Augusto & Samartín, Margarita, 2023. "Government intervention, linkages and financial fragility," Economic Modelling, Elsevier, vol. 126(C).
- Gourdel, Régis & Sydow, Matthias, 2023. "Non-banks contagion and the uneven mitigation of climate risk," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Martijn Boermans, 2022. "A literature review of securities holdings statistics research and a practitioner’s guide," Working Papers 757, DNB.
- Aldasoro, Iñaki & Hüser, Anne-Caroline & Kok, Christoffer, 2022. "Contagion accounting in stress-testing," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Feinstein, Zachary & Hałaj, Grzegorz, 2023. "Interbank asset-liability networks with fire sale management," Working Paper Series 2806, European Central Bank.
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More about this item
Keywords
fire sales; liquidity; overlapping portfolios; price impact; stress testing;All these keywords.
JEL classification:
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2021-08-16 (Central Banking)
- NEP-CWA-2021-08-16 (Central and Western Asia)
- NEP-ISF-2021-08-16 (Islamic Finance)
- NEP-RMG-2021-08-16 (Risk Management)
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