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Resilience To Contagion In Financial Networks

Citations

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Cited by:

  1. T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, February.
  2. Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2018. "Financial Contagion in a Generalized Stochastic Block Model," Papers 1803.08169, arXiv.org, revised Dec 2019.
  3. Tapio Riepponen & Mikko Moilanen & Jaakko Simonen, 2023. "Themes of resilience in the economics literature: A topic modeling approach," Regional Science Policy & Practice, Wiley Blackwell, vol. 15(2), pages 326-356, April.
  4. Béné, Christophe & d'Hôtel, Elodie Maître & Pelloquin, Raphaël & Badaoui, Outman & Garba, Faroukou & Sankima, Jocelyne W., 2024. "Resilience – and collapse – of local food systems in conflict affected areas; reflections from Burkina Faso," World Development, Elsevier, vol. 176(C).
  5. Luitgard Anna Maria Veraart, 2020. "Distress and default contagion in financial networks," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 705-737, July.
  6. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2018. "Financial asset bubbles in banking networks," Papers 1806.01728, arXiv.org.
  7. Mishra, Abinash & Srivastava, Pranjal & Chakrabarti, Anindya S., 2020. "'Too central to fail' firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets," IIMA Working Papers WP 2020-06-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
  8. Amini, Hamed & Minca, Andreea & Sulem, Agnès, 2017. "Optimal equity infusions in interbank networks," Journal of Financial Stability, Elsevier, vol. 31(C), pages 1-17.
  9. Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
  10. Gerardo Ferrara & Sam Langfield & Zijun Liu & Tomohiro Ota, 2019. "Systemic illiquidity in the interbank network," Quantitative Finance, Taylor & Francis Journals, vol. 19(11), pages 1779-1795, November.
  11. Matthew O. Jackson & Agathe Pernoud, 2021. "Systemic Risk in Financial Networks: A Survey," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 171-202, August.
  12. Silva, Thiago Christiano & Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2017. "Monitoring vulnerability and impact diffusion in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 109-135.
  13. 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.
  14. 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).
  15. Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2020. "Suffocating Fire Sales," Papers 2006.08110, arXiv.org, revised Nov 2021.
  16. Axel Gandy & Luitgard A. M. Veraart, 2017. "A Bayesian Methodology for Systemic Risk Assessment in Financial Networks," Management Science, INFORMS, vol. 63(12), pages 4428-4446, December.
  17. Thomas B. King & Travis D. Nesmith & Anna Paulson & Todd Prono, 2023. "Central Clearing and Systemic Liquidity Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 19(4), pages 85-142, October.
  18. Jing Long Yu & Tse Mao Lin & Xin Hui Wu, 2021. "Does Brexit Have a Bullish or Bearish Effect on the Taiwan Stock Market?," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 90-101, 09-2021.
  19. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
  20. 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).
  21. Nan Chen & Xin Liu & David D. Yao, 2016. "An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect," Operations Research, INFORMS, vol. 64(5), pages 1089-1108, October.
  22. Mohammad Alomari & David. M. Power & Nongnuch Tantisantiwong, 2018. "Determinants of equity return correlations: a case study of the Amman Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 33-66, January.
  23. Paolo Barucca & Marco Bardoscia & Fabio Caccioli & Marco D'Errico & Gabriele Visentin & Guido Caldarelli & Stefano Battiston, 2020. "Network valuation in financial systems," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1181-1204, October.
  24. Brandi, Giuseppe & Di Clemente, Riccardo & Cimini, Giulio, 2018. "Epidemics of liquidity shortages in interbank markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 255-267.
  25. T. R. Hurd & Davide Cellai & Sergey Melnik & Quentin H. Shao, 2016. "Double Cascade Model Of Financial Crises," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-27, August.
  26. Peterson K. Ozili, 2017. "Earnings management in interconnected networks: a perspective," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, vol. 33(2), pages 150-163, November.
  27. Carsten Chong & Claudia Kluppelberg, 2017. "Contagion in financial systems: A Bayesian network approach," Papers 1702.04287, arXiv.org, revised Jul 2017.
  28. Matthew O. Jackson & Brian W. Rogers & Yves Zenou, 2017. "The Economic Consequences of Social-Network Structure," Journal of Economic Literature, American Economic Association, vol. 55(1), pages 49-95, March.
  29. Leventides, John & Loukaki, Kalliopi & Papavassiliou, Vassilios G., 2019. "Simulating financial contagion dynamics in random interbank networks," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 500-525.
  30. Chen, Yu & Jin, Shuyue & Wang, Xiasi, 2021. "Solvency contagion risk in the Chinese commercial banks’ network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
  31. Zio, E., 2018. "The future of risk assessment," Reliability Engineering and System Safety, Elsevier, vol. 177(C), pages 176-190.
  32. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
  33. Başpınar, Barış & Gopalakrishnan, Karthik & Koyuncu, Emre & Balakrishnan, Hamsa, 2023. "An empirical study of the resilience of the US and European air transportation networks," Journal of Air Transport Management, Elsevier, vol. 106(C).
  34. Hong Chen & Tan Wang & David D. Yao, 2021. "Financial Network and Systemic Risk—A Dynamic Model," Production and Operations Management, Production and Operations Management Society, vol. 30(8), pages 2441-2466, August.
  35. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
  36. 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.
  37. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
  38. Hamed Amini, 2023. "Contagion risks and security investment in directed networks," Mathematics and Financial Economics, Springer, volume 17, number 5, February.
  39. Valentina Macchiati & Giuseppe Brandi & Tiziana Di Matteo & Daniela Paolotti & Guido Caldarelli & Giulio Cimini, 2022. "Systemic liquidity contagion in the European interbank market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 443-474, April.
  40. Hyun Hak Kim & Hosung Jung, 2019. "Systemic Risk of the Consumer Credit Network across Financial Institutions," Working Papers 2019-23, Economic Research Institute, Bank of Korea.
  41. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
  42. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
  43. 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).
  44. Hamed Amini & Andreea Minca, 2016. "Inhomogeneous Financial Networks and Contagious Links," Operations Research, INFORMS, vol. 64(5), pages 1109-1120, October.
  45. Paolo Bartesaghi & Michele Benzi & Gian Paolo Clemente & Rosanna Grassi & Ernesto Estrada, 2019. "Risk-dependent centrality in economic and financial networks," Papers 1907.07908, arXiv.org, revised Apr 2020.
  46. Sadamori Kojaku & Giulio Cimini & Guido Caldarelli & Naoki Masuda, 2018. "Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis," Papers 1802.05139, arXiv.org.
  47. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
  48. Aditya Maheshwari & Andrey Sarantsev, 2017. "Modeling Financial System with Interbank Flows, Borrowing, and Investing," Papers 1707.03542, arXiv.org, revised Oct 2018.
  49. 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.
  50. T. R. Hurd, 2019. "Systemic Cascades On Inhomogeneous Random Financial Networks," Papers 1909.09239, arXiv.org.
  51. Franklin Allen & Xian Gu, 2018. "The Interplay between Regulations and Financial Stability," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(2), pages 233-248, June.
  52. Thibaut PIQUARD & Dilyara SALAKHOVA, 2018. "Macroprudential policy instruments: a bulwark against interbank contagion risk [Les instruments de politique macroprudentielle : un rempart contre les risques de contagion interbancaire]," Bulletin de la Banque de France, Banque de France, issue 218.
  53. Kangogo, Moses & Volkov, Vladimir, 2021. "Dynamic effects of network exposure on equity markets," Working Papers 2021-03, University of Tasmania, Tasmanian School of Business and Economics.
  54. Sunday Akukodi Ugwu, 2024. "Contagion on Financial Networks: An Introduction," Papers 2402.08071, arXiv.org, revised Feb 2024.
  55. Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2016. "Managing Default Contagion in Inhomogeneous Financial Networks," Papers 1610.09542, arXiv.org, revised Jan 2021.
  56. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  57. Cucic, Dominic, 2022. "Central clearing and loss allocation rules," Journal of Financial Markets, Elsevier, vol. 59(PA).
  58. Levent Onural & Mustafa Çelebi Pınar & Can Fırtına, 2021. "Modeling Economic Activities and Random Catastrophic Failures of Financial Networks via Gibbs Random Fields," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 203-232, August.
  59. Tang, Chun & Liu, Xiaoxing & Zhou, Donghai, 2022. "Financial market resilience and financial development: A global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  60. Chen, Zhihua & An, Haizhong & An, Feng & Guan, Qing & Hao, Xiaoqing, 2018. "Structural risk evaluation of global gas trade by a network-based dynamics simulation model," Energy, Elsevier, vol. 159(C), pages 457-471.
  61. Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
  62. 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.
  63. Klages-Mundt, Ariah & Minca, Andreea, 2022. "Optimal intervention in economic networks using influence maximization methods," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1136-1148.
  64. Qian, Qian & Chao, Xiangrui & Feng, Hairong, 2023. "Internal or external control? How to respond to credit risk contagion in complex enterprises network," International Review of Financial Analysis, Elsevier, vol. 87(C).
  65. Balakina, Olga & Bäckman, Claes & Parakhoniak, Anastasiia, 2024. "Beyond connectivity: Stock market participation in a network," SAFE Working Paper Series 416, Leibniz Institute for Financial Research SAFE.
  66. Kovács, Olivér, 2024. "A reziliencia metamorfózisa [The metamorphosis of resilience]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 408-443.
  67. Naomi Boyd & Peter Locke & Li Sun, 2020. "Trader networks and options risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1031-1048, July.
  68. 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.
  69. Nadine Walters & Gusti Van Zyl & Conrad Beyers, 2019. "Financial Contagion In Large, Inhomogeneous Stochastic Interbank Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
  70. Maxim Bichuch & Nils Detering, 2022. "Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective," Papers 2201.12731, arXiv.org, revised Mar 2024.
  71. Rebekka Burkholz & Hans J. Herrmann & Frank Schweitzer, 2018. "Explicit size distributions of failure cascades redefine systemic risk on finite networks," Papers 1802.03286, arXiv.org.
  72. Veraart, Luitgard A. M., 2020. "Distress and default contagion in financial networks," LSE Research Online Documents on Economics 101905, London School of Economics and Political Science, LSE Library.
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