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Mark Endel Paddrik

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kevin Clark & Adam Copeland & R. Jay Kahn & Antoine Martin & Mark E. Paddrik & Benjamin Taylor, 2021. "Intraday Timing of General Collateral Repo Markets," Liberty Street Economics 20210714, Federal Reserve Bank of New York.

    Cited by:

    1. Kahn, R. Jay & McCormick, Matthew & Nguyen, Vy & Paddrik, Mark & Young, H. Peyton, 2023. "Anatomy of the Repo Rate Spikes in September 2019," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 5(4), pages 1-25, July.
    2. Carrera de Souza, Tomás & Hudepohl, Tom, 2024. "Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market," Journal of Banking & Finance, Elsevier, vol. 158(C).

  2. Matthew McCormick & Mark E. Paddrik & Carlos Ramírez, 2021. "The Dynamics of the U.S. Overnight Triparty Repo Market," FEDS Notes 2021-08-02, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Maurin, Vincent, 2022. "Asset scarcity and collateral rehypothecation," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    2. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard Anna Maria, 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," Journal of Financial Stability, Elsevier, vol. 70(C).
    3. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard A. M., 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," LSE Research Online Documents on Economics 121347, London School of Economics and Political Science, LSE Library.
    4. Cristina Di Luigi & Antonio Perrella & Alessio Ruggieri, 2024. "The fundamental role of the repo market and central clearing," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 48, Bank of Italy, Directorate General for Markets and Payment System.

  3. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Gabrielle Demange & Thibaut Piquard, 2022. "On the Choice of Central Counterparties in the EU," Working papers 868, Banque de France.

  4. Mark Paddrik & Simpson Zhang, 2020. "Central Counterparty Default Waterfalls and Systemic Loss," Working Papers 20-04, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Viral V. Acharya & Aaditya M. Iyer & Rangarajan K. Sundaram, 2020. "Risk-Sharing and the Creation of Systemic Risk," JRFM, MDPI, vol. 13(8), pages 1-38, August.
    2. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury.
    3. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
    4. Jin-Wook Chang, 2019. "Collateralized Debt Networks with Lender Default," Finance and Economics Discussion Series 2019-083, Board of Governors of the Federal Reserve System (U.S.).

  5. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Daniel Dimitrov & Sweder van Wijnbergen, 2022. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers 22-034/VI, Tinbergen Institute.

  6. H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in Derivatives Markets," Economics Series Working Papers 839, University of Oxford, Department of Economics.

    Cited by:

    1. Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
    2. Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
    3. Maddalena Ghio & Linda Rousova & Dilyara Salakhova & Mr. German Villegas Bauer, 2023. "Derivative Margin Calls: A New Driver of MMF Flows," IMF Working Papers 2023/061, International Monetary Fund.
    4. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Discussion Paper 2020-028, Tilburg University, Center for Economic Research.
    5. Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    6. Mark Paddrik & H. Peyton Young, 2021. "Assessing the Safety of Central Counterparties," Working Papers 21-02, Office of Financial Research, US Department of the Treasury.
    7. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
    8. Walter Farkas & Patrick Lucescu, 2024. "Modeling Risk Sharing and Impact on Systemic Risk," Mathematics, MDPI, vol. 12(13), pages 1-19, July.
    9. Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
    10. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.
    11. H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
    12. Inaki Aldasoro & Luitgard A M Veraart, 2022. "Systemic Risk in Markets with Multiple Central Counterparties," BIS Working Papers 1052, Bank for International Settlements.
    13. Audrius Jukonis & Elisa Letizia & Linda Rousova, 2024. "The Impact of Derivatives Collateralization on Liquidity Risk: Evidence from the Investment Fund Sector," IMF Working Papers 2024/026, International Monetary Fund.
    14. William A. Barnett & Xue Wang & Hai-Chuan Xu & Wei-Xing Zhou, 2021. "Hierarchical contagions in the interdependent financial network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202113, University of Kansas, Department of Economics, revised Jun 2021.
    15. Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
    16. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.
    17. Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
    18. 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.
    19. Radoslav Raykov, 2024. "Decomposing Large Banks’ Systemic Trading Losses," Staff Working Papers 24-6, Bank of Canada.
    20. 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.
    21. Mark Paddrik & Simpson Zhang, 2020. "Central Counterparty Default Waterfalls and Systemic Loss," Working Papers 20-04, Office of Financial Research, US Department of the Treasury.
    22. Bardoscia, Marco & Caccioli, Fabio & Gao, Haotian, 2022. "Efficiency of central clearing under liquidity stress," Bank of England working papers 1002, Bank of England.
    23. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    24. Jin, YangKyu & Suh, Sangwon, 2024. "Procyclical variation margins in central clearing," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    25. Zachary Feinstein & Andreas Sojmark, 2022. "Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today," Papers 2211.15431, arXiv.org, revised Aug 2024.

  7. Mark Paddrik & H. Peyton Young, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Working Papers 17-06, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    2. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Metrick, Andrew, 2021. "Stress Tests and Policy," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 3(1), pages 1-19, April.
    4. Grothe, Magdalena & Pancost, N. Aaron & Tompaidis, Stathis, 2023. "Collateral competition: Evidence from central counterparties," Journal of Financial Economics, Elsevier, vol. 149(3), pages 536-556.
    5. Radoslav Raykov, 2019. "Systemic Risk and Collateral Adequacy," Staff Working Papers 19-23, Bank of Canada.
    6. Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2019. "Multiplex network analysis of the UK over‐the‐counter derivatives market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1520-1544, October.
    7. Jin-Wook Chang, 2019. "Collateralized Debt Networks with Lender Default," Finance and Economics Discussion Series 2019-083, Board of Governors of the Federal Reserve System (U.S.).
    8. Wang, Hu & Li, Shouwei, 2020. "Risk contagion in multilayer network of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    9. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model of Central Counterparty Risk," Papers 1803.02012, arXiv.org.
    10. Melinda Friesz & Kira Muratov-Szabó & Andrea Prepuk & Kata Váradi, 2021. "Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint," Risks, MDPI, vol. 9(8), pages 1-19, August.
    11. Dermot Turing & Mr. Manmohan Singh, 2018. "The Morning After--The Impact on Collateral Supply After a Major Default," IMF Working Papers 2018/228, International Monetary Fund.
    12. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model Of Central Counterparty Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-34, December.

  8. Jill Cetina & Mark Paddrik & Sriram Rajan, 2016. "Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets," Working Papers 16-01, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    2. Zema, Sebastiano Michele, 2022. "Uncovering the network structure of non-centrally cleared derivative markets: evidences from regulatory data," Working Paper Series 2721, European Central Bank.
    3. Sebastiano Michele Zema, 2023. "Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data," Empirical Economics, Springer, vol. 65(4), pages 1799-1822, October.
    4. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2019. "Simulating liquidity stress in the derivatives market," Bank of England working papers 838, Bank of England.
    5. H Peyton Young & Mark Paddrik & Sriram Rajan, 2017. "Contagion in the CDS Market," Economics Series Working Papers 821, University of Oxford, Department of Economics.
    6. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    7. Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, May.
    8. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank.
    9. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
    10. Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).

  9. Mark Paddrik & Jessie Jiaxu Wang, 2016. "Bank Networks and Systemic Risk: Evidence from the National Banking Acts," Working Papers 16-13, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Calomiris, Charles W. & Jaremski, Matthew & Wheelock, David C., 2022. "Interbank connections, contagion and bank distress in the Great Depression✰," Journal of Financial Intermediation, Elsevier, vol. 51(C).
    3. Cotter, Christopher & Rousseau, Peter L, 2022. "Correspondent banking, systematic risk, and the Panic of 1893," MPRA Paper 113340, University Library of Munich, Germany.
    4. Haelim Anderson & Selman Erol & Guillermo Ordoñez, 2020. "Interbank Networks in the Shadows of the Federal Reserve Act," NBER Working Papers 27721, National Bureau of Economic Research, Inc.
    5. Haelim Anderson & Charles W. Calomiris & Matthew Jaremski & Gary Richardson, 2018. "Liquidity Risk, Bank Networks, and the Value of Joining the Federal Reserve System," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 173-201, February.
    6. Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2018. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," NBER Working Papers 25405, National Bureau of Economic Research, Inc.
    7. Matthew S. Jaremski & David C. Wheelock, 2019. "The Founding of the Federal Reserve, the Great Depression and the Evolution of the U.S. Interbank Network," NBER Working Papers 26034, National Bureau of Economic Research, Inc.
    8. Daniel Ladley & Peter L. Rousseau, 2018. "Panic and propagation in 1873: a computational network approach," Vanderbilt University Department of Economics Working Papers 18-00004, Vanderbilt University Department of Economics.
    9. Eric Monnet & Francois R. Velde, 2020. "Money, Banking, and Old-School Historical Economics," Working Paper Series WP-2020-28, Federal Reserve Bank of Chicago.
    10. Kevin F. Kiernan & Vladimir Yankov & Filip Zikes, 2021. "Liquidity Provision and Co-insurance in Bank Syndicates," Finance and Economics Discussion Series 2021-060, Board of Governors of the Federal Reserve System (U.S.).
    11. Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
    12. Ren-Yuan Lyu & Ren-Raw Chen & San-Lin Chung & Yilu Zhou, 2024. "Systemic Risk and Bank Networks: A Use of Knowledge Graph with ChatGPT," FinTech, MDPI, vol. 3(2), pages 1-28, May.
    13. Peter Rousseau & Dan Ladley, 2017. "Panic and Propagation in 1873," 2017 Meeting Papers 1199, Society for Economic Dynamics.
    14. Deng, Yang & Zhang, Ziqing & Zhu, Li, 2021. "A model-based index for systemic risk contribution measurement in financial networks," Economic Modelling, Elsevier, vol. 95(C), pages 35-48.
    15. Anderson, Haelim Park & Bluedorn, John C., 2017. "Stopping contagion with bailouts: Micro-evidence from Pennsylvania bank networks during the panic of 1884," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 139-149.
    16. Haelim Anderson & Jin-Wook Chang & Adam Copeland, 2020. "The Effect of the Central Bank Liquidity Support during Pandemics: Evidence from the 1918 Spanish Influenza Pandemic," Finance and Economics Discussion Series 2020-050, Board of Governors of the Federal Reserve System (U.S.).
    17. Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    18. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    19. Ladley, Daniel & Rousseau, Peter L., 2023. "Panic and propagation in 1873: A network analytic approach," Journal of Banking & Finance, Elsevier, vol. 151(C).
    20. Jieshuang He, 2016. "Endogenous Bank Networks and Contagion," CAEPR Working Papers 2016-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    21. Elliott, Matthew & Georg, Co-Pierre & Hazell, Jonathon, 2021. "Systemic risk shifting in financial networks," Journal of Economic Theory, Elsevier, vol. 191(C).
    22. Bougheas, Spiros, 2022. "Contagion in networks: Stability and efficiency," Mathematical Social Sciences, Elsevier, vol. 115(C), pages 64-77.
    23. Wenhua Hu & Jing Pang & Wei Li, 2024. "The Risk Spillover Effects and Network Connectedness Between Real Estate and Other Sectors in China," SAGE Open, , vol. 14(2), pages 21582440241, April.
    24. Elliott, Matthew & Georg, Co-Pierre & Hazell, Jonathon, 2021. "Systemic risk shifting in financial networks," LSE Research Online Documents on Economics 123924, London School of Economics and Political Science, LSE Library.
    25. Erol, Selman & Ordoñez, Guillermo, 2017. "Network reactions to banking regulations," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 51-67.
    26. Haelim Anderson & Jin-Wook Chang & Adam Copeland, 2020. "The Effect of the Central Bank Liquidity Support during Pandemics: Evidence from the 1918 Influenza Pandemic," Staff Reports 928, Federal Reserve Bank of New York.
    27. Mitchener, Kris & Das, Sanjiv & Vossmeyer, Angela, 2018. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," CEPR Discussion Papers 13416, C.E.P.R. Discussion Papers.
    28. Elliott, M. & Georg, C-P. & Hazell, J., 2020. "Systemic Risk-Shifting in Financial Networks," Cambridge Working Papers in Economics 2068, Faculty of Economics, University of Cambridge.
    29. Sim, Khai Zhi, 2022. "The optimal bailout policy in an interbank network," Economics Letters, Elsevier, vol. 216(C).
    30. Li, Bingqing & Zhang, Xiaoyuan, 2024. "Systemic risk and financial networks," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 25-36.
    31. Jia, Yuecheng & Simkins, Betty & Feng, Hongrui, 2023. "Political connections and short sellers," Journal of Banking & Finance, Elsevier, vol. 146(C).
    32. Sanjiv R. Das & Kris James Mitchener & Angela Vossmeyer, 2022. "Bank Regulation, Network Topology, and Systemic Risk: Evidence from the Great Depression," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1261-1312, August.
    33. Anderson, Haelim Park & Bluedorn, John C., 2017. "Reprint of: Stopping contagion with bailouts: Micro-evidence from Pennsylvania bank networks during the panic of 1884," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 221-231.

  10. Anqi Liu & Mark Paddrik & Steve Yang & Xingjia Zhang, 2016. "Interbank Contagion: An Agent-based Model Approach to Endogenously Formed Networks," Working Papers 16-14, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Gianluca Pallante & Mattia Guerini & Mauro Napoletano & Andrea Roventini, 2024. "Robust-less-fragile: Tackling Systemic Risk and Financial Contagion in a Macro Agent-Based Model," GREDEG Working Papers 2024-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    2. Conor B. Hamill & Raad Khraishi & Simona Gherghel & Jerrard Lawrence & Salvatore Mercuri & Ramin Okhrati & Greig A. Cowan, 2023. "Agent-based Modelling of Credit Card Promotions," Papers 2311.01901, arXiv.org, revised Nov 2023.
    3. Riccardo Doyle, 2020. "Using Network Interbank Contagion in Bank Default Prediction," Papers 2005.12619, arXiv.org, revised May 2020.
    4. Morteza Alaeddini & Julie Dugdale & Paul Reaidy & Philippe Madiès & Önder Gürcan, 2021. "An Agent-Oriented, Blockchain-Based Design of the Interbank Money Market Trading System," Post-Print hal-03447648, HAL.
    5. Tingqiang Chen & Yuejuan Hou & Lei Wang & Zeyu Li, 2023. "Counterparty Risk Contagion Model of Carbon Quota Based on Asset Price Reduction," Sustainability, MDPI, vol. 15(14), pages 1-35, July.
    6. Chien-Hsiang Yeh, 2022. "Uniqueness of Equilibria in Interactive Networks," Papers 2206.00158, arXiv.org.
    7. Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    8. Yan, Chun & Ding, Yi & Liu, Wei & Liu, Xinhong & Liu, Jiahui, 2023. "Multilayer interbank networks and systemic risk propagation: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
    9. Lartey, Theophilus & James, Gregory A. & Danso, Albert, 2021. "Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
    10. Reyns, Ariane, 2024. "What drives businesses to transact with complementary currencies?," Ecological Economics, Elsevier, vol. 220(C).
    11. Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.
    12. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.
    13. Chen, Xiaoxiong & Mu, Jinghao & Liu, Guanchun & Liu, Yuanyuan, 2024. "Bank liability structure and corporate employment: Evidence from a quasi-natural experiment in China," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    14. Wang, Haibo, 2024. "Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan," International Review of Financial Analysis, Elsevier, vol. 94(C).
    15. Office of Financial Research (ed.), 2017. "2017 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 17-2, May.
    16. Marco Bardoscia & Adrian Carro & Marc Hinterschweiger & Mauro Napoletano & Lilit Popoyan & Andrea Roventini & Arzu Uluc, 2024. "The impact of prudential regulations on the UK housing market and economy: Insights from an agent-based model," Working Papers 118, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
    17. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    18. Financial Stability Committee, Task Force on cross-border Spillover Effects of macroprudential measures & Kok, Christoffer & Reinhardt, Dennis, 2020. "Cross-border spillover effects of macroprudential policies: a conceptual framework," Occasional Paper Series 242, European Central Bank.
    19. Ladley, Daniel & Rousseau, Peter L., 2023. "Panic and propagation in 1873: A network analytic approach," Journal of Banking & Finance, Elsevier, vol. 151(C).
    20. Chen, Yi-Pei & Chen, Yu-Lun & Chiang, Shu-Hen & Mo, Wan-Shin, 2023. "Determinants of connectedness in financial institutions: Evidence from Taiwan," Emerging Markets Review, Elsevier, vol. 55(C).
    21. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
    22. Zhang, Ailian & Wang, Shuyao & Liu, Bai & Fu, Jingyuan, 2020. "How government regulation of interbank financing impacts risk for Chinese commercial banks," Journal of Asian Economics, Elsevier, vol. 66(C).
    23. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).

  11. Mark Paddrik & H. Peyton Young, 2016. "Contagion in the CDS Market," Working Papers 16-12, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    2. Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
    3. Office of Financial Research (ed.), . "New Public Disclosures Shed Light on Central Counterparties," Viewpoint Papers, Office of Financial Research, US Department of the Treasury, number 17-02, May.
    4. Wiersema, Garbrand & Kleinnijenhuis, Alissa M. & Wetzer, Thom & Farmer, J. Doyne, 2023. "Scenario-free analysis of financial stability with interacting contagion channels," Journal of Banking & Finance, Elsevier, vol. 146(C).
    5. Iman van Lelyveld, 2017. "The use of derivatives trade repository data: possibilities and challenges," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.
    6. Alan Morrison & Michalis Vasios & Mungo Wilson & Filip Zikes, 2017. "Identifying Contagion in a Banking Network," Finance and Economics Discussion Series 2017-082, Board of Governors of the Federal Reserve System (U.S.).
    7. Ferrara, Gerardo & Li, Xin, 2017. "Central counterparty auction design," Bank of England working papers 669, Bank of England.
    8. Mark Paddrik & Peyton Young, 2018. "How Safe are Central Counterparties in Derivatives Markets?," 2018 Meeting Papers 934, Society for Economic Dynamics.
    9. Mrs. Jana Bricco & Ms. TengTeng Xu, 2019. "Interconnectedness and Contagion Analysis: A Practical Framework," IMF Working Papers 2019/220, International Monetary Fund.
    10. Jin-Wook Chang, 2019. "Collateralized Debt Networks with Lender Default," Finance and Economics Discussion Series 2019-083, Board of Governors of the Federal Reserve System (U.S.).

  12. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Alexandru-Ioan Stan, 2018. "Computational speed and high-frequency trading profitability: an ecological perspective," Electronic Markets, Springer;IIM University of St. Gallen, vol. 28(3), pages 381-395, August.
    2. Hałaj, Grzegorz, 2018. "System-wide implications of funding risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1151-1181.
    3. Giovanni Dosi & Andrea Roventini, 2019. "More is Different ... and Complex! The Case for Agent-Based Macroeconomics," LEM Papers Series 2019/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Aikman, David & Chichkanov, Pavel & Douglas, Graeme & Georgiev, Yordan & Howat, James & King, Benjamin, 2019. "System-wide stress simulation," Bank of England working papers 809, Bank of England.
    5. Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
    6. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
    7. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.
    8. Mr. Jorge A Chan-Lau, 2017. "Variance Decomposition Networks: Potential Pitfalls and a Simple Solution," IMF Working Papers 2017/107, International Monetary Fund.
    9. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Aymanns, Christopher, 2018. "Models of Financial Stability and Their Application in Stress Tests," INET Oxford Working Papers 2018-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    10. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
    11. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.

  13. Mark Paddrik & Richard Haynes & Andrew E. Todd & Peter A. Beling & William T. Scherer, 2014. "The Role of Visual Analysis in the Regulation of Electronic Order Book Markets," Staff Discussion Papers 14-02, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

  14. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.

    Cited by:

    1. Mahmoud Mahfouz & Angelos Filos & Cyrine Chtourou & Joshua Lockhart & Samuel Assefa & Manuela Veloso & Danilo Mandic & Tucker Balch, 2019. "On the Importance of Opponent Modeling in Auction Markets," Papers 1911.12816, arXiv.org.
    2. Colin M. Van Oort & Ethan Ratliff-Crain & Brian F. Tivnan & Safwan Wshah, 2023. "Adaptive Agents and Data Quality in Agent-Based Financial Markets," Papers 2311.15974, arXiv.org.
    3. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Jun 2024.
    4. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
    5. Mahmoud Mahfouz & Tucker Balch & Manuela Veloso & Danilo Mandic, 2021. "Learning to Classify and Imitate Trading Agents in Continuous Double Auction Markets," Papers 2110.01325, arXiv.org, revised Oct 2021.
    6. James T. Wilkinson & Jacob Kelter & John Chen & Uri Wilensky, 2024. "A Network Simulation of OTC Markets with Multiple Agents," Papers 2405.02480, arXiv.org.
    7. Matteo Richiardi, 2015. "The future of agent-based modelling," Economics Papers 2015-W06, Economics Group, Nuffield College, University of Oxford.
    8. Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
    9. Kang Gao & Perukrishnen Vytelingum & Stephen Weston & Wayne Luk & Ce Guo, 2022. "High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach," Papers 2208.13654, arXiv.org.
    10. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.
    11. Rainer Alt, 2020. "Electronic Markets on sustainability," Electronic Markets, Springer;IIM University of St. Gallen, vol. 30(4), pages 667-674, December.

  15. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.

    Cited by:

    1. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," INET Oxford Working Papers 2020-14, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    2. Péter Juhász & Nóra Felföldi-Szűcs, 2022. "Financing Cooperative Supply Chain Members—The Bank’s Perspective," Risks, MDPI, vol. 10(7), pages 1-17, July.
    3. Stef Janssen & Alexei Sharpanskykh & Richard Curran, 2019. "AbSRiM: An Agent‐Based Security Risk Management Approach for Airport Operations," Risk Analysis, John Wiley & Sons, vol. 39(7), pages 1582-1596, July.
    4. Carlos M. Fernández-Márquez & Matías Fuentes & Juan José Martínez & Francisco J. Vázquez, 2021. "Productivity and unemployment: an ABM approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 133-151, January.
    5. Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020. "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
    6. Aldo Glielmo & Marco Favorito & Debmallya Chanda & Domenico Delli Gatti, 2023. "Reinforcement Learning for Combining Search Methods in the Calibration of Economic ABMs," Papers 2302.11835, arXiv.org, revised Dec 2023.
    7. Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
    8. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2019. "Winter is possibly not coming: mitigating financial instability in an agent-based model with interbank market," SciencePo Working papers Main hal-03403274, HAL.
    9. Colin M. Van Oort & Ethan Ratliff-Crain & Brian F. Tivnan & Safwan Wshah, 2023. "Adaptive Agents and Data Quality in Agent-Based Financial Markets," Papers 2311.15974, arXiv.org.
    10. Enrico Cozzoni & Carmine Passavanti & Cristina Ponsiglione & Simonetta Primario & Pierluigi Rippa, 2021. "Interorganizational Collaboration in Innovation Networks: An Agent Based Model for Responsible Research and Innovation in Additive Manufacturing," Sustainability, MDPI, vol. 13(13), pages 1-17, July.
    11. Matteo Serri & Guido Caldarelli & Giulio Cimini, 2016. "How the interbank market becomes systemically dangerous: an agent-based network model of financial distress propagation," Papers 1611.04311, arXiv.org.
    12. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    13. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
    14. Binghui Wu & Tingting Duan, 2019. "Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network," Complexity, Hindawi, vol. 2019, pages 1-12, June.
    15. Financial Stability Committee, Task Force on cross-border Spillover Effects of macroprudential measures & Kok, Christoffer & Reinhardt, Dennis, 2020. "Cross-border spillover effects of macroprudential policies: a conceptual framework," Occasional Paper Series 242, European Central Bank.
    16. T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, February.
    17. Baranova, Yuliya & Douglas, Graeme & Silvestri, Laura, 2019. "Simulating stress in the UK corporate bond market: investor behaviour and asset fire-sales," Bank of England working papers 803, Bank of England.
    18. 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.
    19. Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021. "Advances in the Agent-Based Modeling of Economic and Social Behavior," MPRA Paper 107317, University Library of Munich, Germany.
    20. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
    21. T. R. Hurd, 2018. "Bank Panics And Fire Sales, Insolvency And Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-30, September.
    22. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Aymanns, Christopher, 2018. "Models of Financial Stability and Their Application in Stress Tests," INET Oxford Working Papers 2018-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    23. Toshiyuki Sakiyama & Tetsuya Yamada, 2016. "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series 16-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    24. Qixuan Luo & Shijia Song & Handong Li, 2023. "Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1721-1750, December.
    25. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
    26. T. R. Hurd, 2017. "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers 1711.05289, arXiv.org.
    27. Ron Wallace, 2021. "Configuring Hayek versus Keynes: Decentralisation, regulation, and computational discovery procedures," Economic Affairs, Wiley Blackwell, vol. 41(3), pages 465-471, October.
    28. João Silvestre, 2017. "Sovereign default contagion: an agent-based model approach," Working Papers Department of Economics 2017/08, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    29. Lo Andrew W., 2019. "The Visible Hand," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 9(3), pages 1-5, December.
    30. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.

Articles

  1. Ghamami, Samim & Paddrik, Mark & Zhang, Simpson, 2023. "Central Counterparty Default Waterfalls and Systemic Loss," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(8), pages 3577-3612, December.
    See citations under working paper version above.
  2. Liu, Anqi & Paddrik, Mark & Yang, Steve Y. & Zhang, Xingjia, 2020. "Interbank contagion: An agent-based model approach to endogenously formed networks," Journal of Banking & Finance, Elsevier, vol. 112(C).
    See citations under working paper version above.
  3. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020. "Contagion in Derivatives Markets," Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
    See citations under working paper version above.
  4. Haelim Anderson & Mark Paddrik & Jessie Jiaxu Wang, 2019. "Bank Networks and Systemic Risk: Evidence from the National Banking Acts," American Economic Review, American Economic Association, vol. 109(9), pages 3125-3161, September.
    See citations under working paper version above.
  5. Cetina, Jill & Paddrik, Mark & Rajan, Sriram, 2018. "Stressed to the core: Counterparty concentrations and systemic losses in CDS markets," Journal of Financial Stability, Elsevier, vol. 35(C), pages 38-52.
    See citations under working paper version above.
  6. Richard Bookstaber & Mark Paddrik & Brian Tivnan, 2018. "An agent-based model for financial vulnerability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 433-466, July.
    See citations under working paper version above.
  7. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
    See citations under working paper version above.
  8. Mark E. Paddrik & Richard Haynes & Andrew E. Todd & William T. Scherer & Peter A. Beling, 2016. "Visual analysis to support regulators in electronic order book markets," Environment Systems and Decisions, Springer, vol. 36(2), pages 167-182, June.

    Cited by:

    1. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo-Barrera & Lorenzo Moneta, 2021. "When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book," Papers 2109.04812, arXiv.org.
    2. Qifeng Qiao & Peter A. Beling, 2016. "Decision analytics and machine learning in economic and financial systems," Environment Systems and Decisions, Springer, vol. 36(2), pages 109-113, June.

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