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Evaluating Systemic Risk using Bank Default Probabilities in Financial Networks
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Cited by:
- Bastidon, Cécile & Jawadi, Fredj, 2024.
"Trade fragmentation and volatility-of-volatility networks,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Cécile Bastidon & Fredj Jawadi, 2024. "Trade fragmentation and volatility-of-volatility networks," Post-Print hal-04478721, HAL.
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- Cao, Guangxi & Zhang, Qi & Li, Qingchen, 2017. "Causal relationship between the global foreign exchange market based on complex networks and entropy theory," Chaos, Solitons & Fractals, Elsevier, vol. 99(C), pages 36-44.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- Borbála Szüle, 2019. "Systemic Risk Dimensions in the Hungarian Banking and Insurance Sector," Public Finance Quarterly, State Audit Office of Hungary, vol. 64(2), pages 260-276.
- Barroso, João Barata Ribeiro Blanco & Silva, Thiago Christiano & Souza, Sergio Rubens Stancato de, 2018. "Identifying systemic risk drivers in financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 650-674.
- Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016.
"Structure and dynamics of the global financial network,"
Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 218-234.
- Thiago Christiano Silva & Sergio Rubens Stancato de Souza & Benjamin Miranda Tabak, 2016. "Structure and Dynamics of the Global Financial Network," Working Papers Series 439, Central Bank of Brazil, Research Department.
- Avdjiev, S. & Giudici, P. & Spelta, A., 2019.
"Measuring contagion risk in international banking,"
Journal of Financial Stability, Elsevier, vol. 42(C), pages 36-51.
- Stefan Avdjiev & Paolo Giudici & Alessandro Spelta, 2019. "Measuring contagion risk in international banking," BIS Working Papers 796, Bank for International Settlements.
- Silva, Thiago Christiano & Guerra, Solange Maria & Tabak, Benjamin Miranda, 2020.
"Fiscal risk and financial fragility,"
Emerging Markets Review, Elsevier, vol. 45(C).
- Thiago Christiano Silva & Solange Maria Guerra & Benjamin Miranda Tabak, 2019. "Fiscal Risk and Financial Fragility," Working Papers Series 495, Central Bank of Brazil, Research Department.
- de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
- Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Almeida, Carlos Eduardo de, 2019.
"Bailing in Banks: costs and benefits,"
Journal of Financial Stability, Elsevier, vol. 45(C).
- Sergio Rubens Stancato de Souza & Thiago Christiano Silva & Carlos Eduardo de Almeida, 2019. "Bailing in Banks: costs and benefits," Working Papers Series 504, Central Bank of Brazil, Research Department.
- Nandita Bhattacharjee & Ambika Prasad Pati, 2023. "Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy," South Asian Journal of Macroeconomics and Public Finance, , vol. 12(2), pages 186-217, December.
- Silva, Thiago Christiano & Tabak, Benjamin Miranda & Cajueiro, Daniel Oliveira & Dias, Marina Villas Boas, 2018.
"Adequacy of deterministic and parametric frontiers to analyze the efficiency of Indian commercial banks,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1016-1025.
- Benjamin M. Tabak & Daniel O. Cajueiro & Marina V. B. Dias, 2014. "The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks," Working Papers Series 350, Central Bank of Brazil, Research Department.
- Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
- X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
- Daniele Petrone & Neofytos Rodosthenous & Vito Latora, 2022. "An AI approach for managing financial systemic risk via bank bailouts by taxpayers," Nature Communications, Nature, vol. 13(1), pages 1-18, December.
- Alexandre, Michel & Silva, Thiago Christiano & Michalak, Krzysztof & Rodrigues, Francisco Aparecido, 2023.
"Does the default pecking order impact systemic risk? Evidence from Brazilian data,"
European Journal of Operational Research, Elsevier, vol. 309(3), pages 1379-1391.
- Michel Alexandre & Thiago Christiano Silva & Krzysztof Michalak & Francisco A. Rodrigues, 2021. "Does Default Pecking Order Impact Systemic Risk? Evidence from Brazilian data," Working Papers Series 557, Central Bank of Brazil, Research Department.
- Huichen Jiang & Jun Zhang, 2020. "Discovering Systemic Risks of China's Listed Banks by CoVaR Approach in the Digital Economy Era," Mathematics, MDPI, vol. 8(2), pages 1-28, February.
- Silva, Thiago Christiano & da Silva, Michel Alexandre & Tabak, Benjamin Miranda, 2017.
"Systemic risk in financial systems: A feedback approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 97-120.
- Thiago Christiano Silva & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2017. "Systemic Risk in Financial Systems: a feedback approach," Working Papers Series 461, Central Bank of Brazil, Research Department.
- Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2017.
"Why do vulnerability cycles matter in financial networks?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 592-606.
- Thiago Christiano Silva & Benjamin Miranda Tabak & Solange Maria Guerra, 2016. "Why Do Vulnerability Cycles Matter in Financial Networks?," Working Papers Series 442, Central Bank of Brazil, Research Department.
- Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
- Aida Barkauskaite & Ausrine Lakstutiene & Justyna Witkowska, 2018. "Measurement of Systemic Risk in a Common European Union Risk-Based Deposit Insurance System: Formal Necessity or Value-Adding Process?," Risks, MDPI, vol. 6(4), pages 1-21, December.
- Li, Wenwei & Hommel, Ulrich & Paterlini, Sandra, 2018. "Network topology and systemic risk: Evidence from the Euro Stoxx market," Finance Research Letters, Elsevier, vol. 27(C), pages 105-112.
- Silva, Thiago Christiano & Tabak, Benjamin Miranda & Cajueiro, Daniel Oliveira & Dias, Marina Villas Boas, 2017. "A comparison of DEA and SFA using micro- and macro-level perspectives: Efficiency of Chinese local banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 216-223.
- Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
- Mariya Gubareva, 2019. "Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework," Complexity, Hindawi, vol. 2019, pages 1-19, July.
- 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).
- Thiago Christiano Silva & Solange Maria Guerra & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2018. "Interconnectedness, Firm Resilience and Monetary Policy," Working Papers Series 478, Central Bank of Brazil, Research Department.
- Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Leibniz Institute for Financial Research SAFE, revised 2018.
- Narayan, Shivani & Kumar, Dilip & Bouri, Elie, 2023. "Systemically important financial institutions and drivers of systemic risk: Evidence from India," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- 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.
- Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian & Wei, Lu, 2017. "Expected default based score for identifying systemically important banks," Economic Modelling, Elsevier, vol. 64(C), pages 589-600.
- Ardekani, Aref Mahdavi & Distinguin, Isabelle & Tarazi, Amine, 2020. "Do banks change their liquidity ratios based on network characteristics?," European Journal of Operational Research, Elsevier, vol. 285(2), pages 789-803.
- Nicolás Magner & Jaime F. Lavín & Mauricio A. Valle, 2022. "Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach," Mathematics, MDPI, vol. 10(19), pages 1-30, October.