Systemic losses due to counterparty risk in a stylized banking system
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Cited by:
- Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
- Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
- Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec, 2016. "Can banks default overnight? Modeling endogenous contagion on O/N interbank market," Papers 1603.05142, arXiv.org.
- Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.
- Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
- Morteza Alaeddini & Philippe Madiès & Paul J. Reaidy & Julie Dugdale, 2023. "Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 573-654, April.
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
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Keywords
banking crisis; counterparty risk; random field ising model; systemic risk;All these keywords.
JEL classification:
- N0 - Economic History - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-02-05 (Banking)
- NEP-RMG-2015-02-05 (Risk Management)
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