Contagion accounting in stress-testing
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DOI: 10.1016/j.jedc.2022.104354
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- Feinstein, Zachary & Hałaj, Grzegorz, 2023. "Interbank asset-liability networks with fire sale management," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
- Carro, Adrian & Stupariu, Patricia, 2024. "Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market," Journal of Financial Stability, Elsevier, vol. 71(C).
- Fukker, Gábor & Kok, Christoffer, 2024.
"On the optimal control of interbank contagion in the euro area banking system,"
Journal of Financial Stability, Elsevier, vol. 71(C).
- Fukker, Gábor & Kok, Christoffer, 2021. "On the optimal control of interbank contagion in the euro area banking system," Working Paper Series 2554, European Central Bank.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023.
"Macro-Prudential Stress Test Models: A Survey,"
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2023/173, International Monetary Fund.
- Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023. "Macroprudential stress‑test models: a survey," Bank of England working papers 1037, Bank of England.
- Destan Kirimhan & Saban Nazlioglu & James E. Payne, 2024. "Are stress‐tested banks in the United States becoming similar? Evidence from convergence tests," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 47(1), pages 61-88, March.
- Martijn Boermans, 2022. "A literature review of securities holdings statistics research and a practitioner’s guide," Working Papers 757, DNB.
- 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
Interbank networks; Contagion; Overlapping portfolios; Fire sales; Stress-testing;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G01 - Financial Economics - - General - - - Financial Crises
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Statistics
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