Reconstructing and stress testing credit networks
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DOI: 10.1016/j.jedc.2019.103817
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- Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018. "Reconstructing and stress testing credit networks," ESRB Working Paper Series 84, European Systemic Risk Board.
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Citations
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Cited by:
- Wang, Chao & Liu, Xiaoxing & Chen, Boyi & Li, Menyu, 2023. "Topological properties of reconstructed credit networks and banking systemic risk," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
- Pang, Raymond Ka-Kay & Veraart, Luitgard A. M., 2023. "Assessing and mitigating fire sales risk under partial information," LSE Research Online Documents on Economics 120171, London School of Economics and Political Science, LSE Library.
- Landaberry, Victoria & Caccioli, Fabio & Rodriguez-Martinez, Anahi & Baron, Andrea & Martinez-Jaramillo, Serafin & Lluberas, Rodrigo, 2021. "The contribution of the intra-firm exposures network to systemic risk," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(2).
- Silvia Crafa, 2021. "From agent-based modeling to actor-based reactive systems in the analysis of financial networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(3), pages 649-673, July.
- Siklos, Pierre L. & Stefan, Martin, 2021.
"Exchange rate shocks in multicurrency interbank markets,"
Journal of Financial Stability, Elsevier, vol. 55(C).
- Pierre L. Siklos & Martin Stefan, 2020. "Exchange rate shocks in multicurrency interbank markets," CQE Working Papers 9220, Center for Quantitative Economics (CQE), University of Muenster.
- Pierre L. Siklos & Martin Stefan, 2021. "Exchange rate shocks in multicurrency interbank markets," CAMA Working Papers 2021-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Andrea Bacilieri & Pablo Austudillo-Estevez, 2023. "Reconstructing firm-level input-output networks from partial information," Papers 2304.00081, arXiv.org.
- Chao, Wang & Jing, Ma & Xiaoxing, Liu, 2023. "Optimizing systemic risk through credit network reconstruction," Emerging Markets Review, Elsevier, vol. 57(C).
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022.
"Backtesting macroprudential stress tests,"
Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2020. "Backtesting macroprudential stress tests," Discussion Papers 45/2020, Deutsche Bundesbank.
- Michel Alexandre & Gilberto Tadeu Lima & Luca Riccetti & Alberto Russo, 2023.
"The financial network channel of monetary policy transmission: an agent-based model,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 533-571, July.
- Michel Alexandre & Gilberto Tadeu Lima & Luca Riccetti & Alberto Russo, 2022. "The Financial Network Channel of Monetary Policy Transmission: An Agent-Based Model," Working Papers, Department of Economics 2022_01, University of São Paulo (FEA-USP), revised 21 Jan 2022.
- Michel Alexandre & Gilberto Tadeu Lima & Luca Riccetti & Alberto Russo, 2022. "The financial network channel of monetary policy transmission: An agent-based model," Working Papers 2022/01, Economics Department, Universitat Jaume I, Castellón (Spain).
- Maehashi, Kohei, 2021. "Systemic risk of portfolio diversification," Economics Letters, Elsevier, vol. 208(C).
- Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2020. "Modelling fire sale contagion across banks and non-banks," Bank of England working papers 878, Bank of England, revised 18 Feb 2021.
- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
- Di Gangi, Domenico & Lillo, Fabrizio & Pirino, Davide, 2018. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 117-141.
- Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
- Pang, Raymond Ka-Kay & Veraart, Luitgard Anna Maria, 2023. "Assessing and mitigating fire sales risk under partial information," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2024. "Modelling fire sale contagion across banks and non-banks," Journal of Financial Stability, Elsevier, vol. 71(C).
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More about this item
Keywords
Network reconstruction; Stress testing; Systemic risk; Bipartite credit network; Aggregation level;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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