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Simulation methods to assess the danger of contagion in interbank markets

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Cited by:

  1. Fang, Yi & Wang, Qi & Wang, Yanru & Yuan, Yan, 2024. "Media sentiment, deposit stability and bank systemic risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 1150-1172.
  2. Fei Su & Lili Zhai & Yunyan Zhou & Zixi Zhuang & Feifan Wang, 2024. "Risk contagion in financial markets: A systematic review using bibliometric methods," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 163-199, March.
  3. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  4. Shahzad, Syed Jawad Hussain & Hoang, Thi Hong Van & Arreola-Hernandez, Jose, 2019. "Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe," Finance Research Letters, Elsevier, vol. 28(C), pages 153-159.
  5. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260, National Bureau of Economic Research, Inc.
  6. Aldasoro, Iñaki & Alves, Iván, 2018. "Multiplex interbank networks and systemic importance: An application to European data," Journal of Financial Stability, Elsevier, vol. 35(C), pages 17-37.
  7. Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Management Science, INFORMS, vol. 64(2), pages 955-970, February.
  8. Hledik, Juraj & Rastelli, Riccardo, 2020. "A dynamic network model to measure exposure diversification in the Austrian interbank market," ESRB Working Paper Series 109, European Systemic Risk Board.
  9. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
  10. Christoph Siebenbrunner, 2017. "Clearing algorithms and network centrality," Papers 1706.00284, arXiv.org.
  11. Tomáš Klinger & Petr Teply, 2014. "Modelling Interconnections in the Global Financial System in the Light of Systemic Risk," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 64-88.
  12. 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).
  13. Chen, Bing & Li, Li & Peng, Fei & Anwar, Sajid, 2020. "Risk contagion in the banking network: New evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  14. Riccardo Doyle, 2020. "Using Network Interbank Contagion in Bank Default Prediction," Papers 2005.12619, arXiv.org, revised May 2020.
  15. Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020. "Is COVID-19 a threat to financial stability in Europe?," CEPR Discussion Papers 14922, C.E.P.R. Discussion Papers.
  16. Accominotti, Olivier & Lucena-Piquero, Delio & Ugolini, Stefano, 2023. "Intermediaries’ substitutability and financial network resilience: A hyperstructure approach," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
  17. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2013. "Bank Bailouts, International Linkages, and Cooperation," American Economic Journal: Economic Policy, American Economic Association, vol. 5(4), pages 270-305, November.
  18. Feinstein Zachary & El-Masri Fatena, 2017. "The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 113-139, September.
  19. Fernando M. Duarte & Collin Jones, 2017. "Empirical network contagion for U.S. financial institutions," Staff Reports 826, Federal Reserve Bank of New York.
  20. Goncharenko, Roman & Hledik, Juraj & Pinto, Roberto, 2018. "The dark side of stress tests: Negative effects of information disclosure," Journal of Financial Stability, Elsevier, vol. 37(C), pages 49-59.
  21. Alexandre, Michel & Silva, Thiago Christiano & Tabak, Benjamin Miranda, 2024. "The labor market channel of systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 168(C).
  22. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
  23. Tathagata Banerjee & Alex Bernstein & Zachary Feinstein, 2018. "Dynamic Clearing and Contagion in Financial Networks," Papers 1801.02091, arXiv.org, revised Jun 2024.
  24. David Tison, 2014. "Impact of Non-cooperative Oligopoly of the Banking System on Its Pro-cyclicality in the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 47-63.
  25. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  26. Aldasoro, Iñaki & Delli Gatti, Domenico & Faia, Ester, 2017. "Bank networks: Contagion, systemic risk and prudential policy," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 164-188.
  27. Bargigli, Leonardo & Gallegati, Mauro, 2013. "Finding communities in credit networks," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-39.
  28. Vodenska, Irena & Aoyama, Hideaki & Becker, Alexander P. & Fujiwara, Yoshi & Iyetomi, Hiroshi & Lungu, Eliza, 2021. "From stress testing to systemic stress testing: The importance of macroprudential regulation," Journal of Financial Stability, Elsevier, vol. 52(C).
  29. Giulio Cimini & Matteo Serri, 2016. "Entangling Credit and Funding Shocks in Interbank Markets," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-15, August.
  30. Sheri M Markose, 2013. "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
  31. Nils Bertschinger & Julian Stobbe, 2018. "Systemic Greeks: Measuring risk in financial networks," Papers 1810.11849, arXiv.org.
  32. Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(1), pages 24-41.
  33. 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.
  34. Andry Alamsyah & Dian Puteri Ramadhani & Farida Titik Kristanti & Khairunnisa Khairunnisa, 2022. "Transaction Network Structural Shift under Crisis: Macro and Micro Perspectives," Economies, MDPI, vol. 10(3), pages 1-12, February.
  35. Céline Gauthier & Toni Gravelle & Xuezhi Liu & Moez Souissi, 2011. "What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?," Discussion Papers 11-9, Bank of Canada.
  36. Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
  37. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2019. "Reconstructing and stress testing credit networks," LSE Research Online Documents on Economics 118938, London School of Economics and Political Science, LSE Library.
  38. Hua Chen & J. David Cummins & Tao Sun & Mary A. Weiss, 2020. "The Reinsurance Network Among U.S. Property–Casualty Insurers: Microstructure, Insolvency Risk, and Contagion," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 253-284, June.
  39. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020. "Reconstructing and stress testing credit networks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  40. Caccioli, Fabio & Farmer, J. Doyne & Foti, Nick & Rockmore, Daniel, 2015. "Overlapping portfolios, contagion, and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 50-63.
  41. Denbee, Edward & Julliard, Christian & Li, Ye & Yuan, Kathy, 2021. "Network risk and key players: A structural analysis of interbank liquidity," Journal of Financial Economics, Elsevier, vol. 141(3), pages 831-859.
  42. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
  43. Thomas R. Hurd & James P. Gleeson, 2011. "A framework for analyzing contagion in banking networks," Papers 1110.4312, arXiv.org.
  44. Alesia Kalbaska & Cesario Mateus, 2019. "From sovereigns to banks: evidence on cross-border contagion," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 86-103, March.
  45. IJtsma, Pieter & Spierdijk, Laura, 2017. "Systemic risk with endogenous loss given default," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 145-157.
  46. Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
  47. in 't Veld, Daan & van der Leij, Marco & Hommes, Cars, 2020. "The formation of a core-periphery structure in heterogeneous financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  48. Cappelletti, Giuseppe & Mistrulli, Paolo Emilio, 2017. "Multiple lending, credit lines and financial contagion," Working Paper Series 2089, European Central Bank.
  49. Caccioli, Fabio & Shrestha, Munik & Moore, Cristopher & Farmer, J. Doyne, 2014. "Stability analysis of financial contagion due to overlapping portfolios," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 233-245.
  50. Chang, Jin-Wook & Chuan, Grace, 2024. "Contagion in debt and collateral markets," Journal of Monetary Economics, Elsevier, vol. 148(C).
  51. Nevermann, Daniel & Heckmann, Lotta, 2023. "Effects of mergers on network models of the financial system," Discussion Papers 29/2023, Deutsche Bundesbank.
  52. Giansante, Simone & Manfredi, Sabato & Markose, Sheri, 2023. "Fair immunization and network topology of complex financial ecosystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
  53. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  54. Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-Based Capital Allocations," International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 329-377, June.
  55. V. Sasidevan & Nils Bertschinger, 2019. "Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches," Papers 1912.05273, arXiv.org.
  56. Avdjiev, S. & Giudici, P. & Spelta, A., 2019. "Measuring contagion risk in international banking," Journal of Financial Stability, Elsevier, vol. 42(C), pages 36-51.
  57. Brown, Martin & Trautmann, Stefan T. & Vlahu, Razvan, 2012. "Contagious Bank Runs: Experimental Evidence," Working Papers on Finance 1207, University of St. Gallen, School of Finance.
  58. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.
  59. D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
  60. 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.
  61. Memmel, Christoph & Sachs, Angelika, 2013. "Contagion in the interbank market and its determinants," Journal of Financial Stability, Elsevier, vol. 9(1), pages 46-54.
  62. Carlos León & Constanza Martínez-Ventura & Freddy Cepeda-López, 2019. "Short-Term Liquidity Contagion in the Interbank Market," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 38(76), pages 51-80, January.
  63. Kobayashi, Teruyoshi, 2014. "A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades," Economics Letters, Elsevier, vol. 124(1), pages 113-116.
  64. repec:bfr:rueban:5 is not listed on IDEAS
  65. L. Bargigli & G. di Iasio & L. Infante & F. Lillo & F. Pierobon, 2015. "The multiplex structure of interbank networks," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 673-691, April.
  66. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
  67. Madalina Anghel & Diana Dumitrescu & Daniel Dumitrescu & Georgiana Nita, 2016. "Role of banks in in European funds absorptionto maintain macroeconomic stability," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 43-49, September.
  68. Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2021. "CoMap: Mapping Contagion in the Euro Area Banking Sector," Journal of Financial Stability, Elsevier, vol. 53(C).
  69. Fourel, V. & H am, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
  70. Teruyoshi Kobayashi, 2012. "Diversity among banks may increase systemic risk," Discussion Papers 1213, Graduate School of Economics, Kobe University.
  71. Konstantin Kosenko & Noam Michelson, 2018. "It Takes More than Two to Tango: Understanding the Dynamics behind Multiple Bank Lending and its Implications," Bank of Israel Working Papers 2018.11, Bank of Israel.
  72. 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.
  73. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61, National Bureau of Economic Research, Inc.
  74. Xiaojun Li & Shijun Dong, 2016. "Assessing Interbank Contagion Risk Using Consolidated Data," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(4), pages 421-432, November.
  75. Craig, Ben & Ma, Yiming, 2022. "Intermediation in the interbank lending market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 179-207.
  76. Pagliacci, Carolina & Peña, Jennifer, 2016. "Riesgos sistémicos en el mercado interbancario en Venezuela: 2004-2014 [Systemic risk in the Venezuelan interbank market: 2004-2014]," MPRA Paper 106548, University Library of Munich, Germany.
  77. Dengbao Yao & Xiaoxing Liu & Xu Zhang, 2016. "Financial contagion in interbank network," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(2), pages 132-148.
  78. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT School for Advanced Studies Lucca, revised Mar 2014.
  79. Clerc, Laurent & Giovannini, Alberto & Langfield, Sam & Peltonen, Tuomas A. & Portes, Richard & Scheicher, Martin, 2016. "Indirect contagion: the policy problem," ESRB Occasional Paper Series 9, European Systemic Risk Board.
  80. Qingmin Hao & Jim Huangnan Shen & Chien-Chiang Lee, 2023. "Risk contagion of bank-firm loan network: evidence from China," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 341-361, June.
  81. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  82. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  83. Siklos, Pierre L. & Stefan, Martin, 2021. "Exchange rate shocks in multicurrency interbank markets," Journal of Financial Stability, Elsevier, vol. 55(C).
  84. Jager, Maximilian & Siemsen, Thomas & Vilsmeier, Johannes, 2020. "Interbank risk assessment: A simulation approach," Discussion Papers 23/2020, Deutsche Bundesbank.
  85. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
  86. Gofman, Michael, 2017. "Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions," Journal of Financial Economics, Elsevier, vol. 124(1), pages 113-146.
  87. 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.
  88. Franklin Allen & Elena Carletti, 2013. "Financial Markets, Institutions and Liquidity," RBA Annual Conference Volume (Discontinued), in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.),Liquidity and Funding Markets, Reserve Bank of Australia.
  89. 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.
  90. 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).
  91. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
  92. Silvia Gabrieli & Dilyara Salakhova, 2019. "Cross-border interbank contagion in the European banking sector," International Economics, CEPII research center, issue 157, pages 33-54.
  93. Hazama, Makoto & Uesugi, Iichiro, 2017. "Measuring the systemic risk in interfirm transaction networks," Journal of Economic Behavior & Organization, Elsevier, vol. 137(C), pages 259-281.
  94. Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli, 2015. "DebtRank: A Microscopic Foundation for Shock Propagation," PLOS ONE, Public Library of Science, vol. 10(6), pages 1-13, June.
  95. Ma, Jing & He, Jianmin & Liu, Xiaoxing & Wang, Chao, 2019. "Diversification and systemic risk in the banking system," Chaos, Solitons & Fractals, Elsevier, vol. 123(C), pages 413-421.
  96. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
  97. Vinko Zlatić & Giampaolo Gabbi & Hrvoje Abraham, 2015. "Reduction of Systemic Risk by Means of Pigouvian Taxation," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-18, July.
  98. Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini, 2016. "What do central counterparties default funds really cover? A network-based stress test answer," Papers 1611.03782, arXiv.org.
  99. Maxim Bichuch & Zachary Feinstein, 2020. "A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms," Papers 2005.05364, arXiv.org, revised Mar 2021.
  100. Hamed Amini & Rama Cont & Andreea Minca, 2011. "Resilience to Contagion in Financial Networks," Papers 1112.5687, arXiv.org.
  101. Temizsoy, Asena & Iori, Giulia & Montes-Rojas, Gabriel, 2017. "Network centrality and funding rates in the e-MID interbank market," Journal of Financial Stability, Elsevier, vol. 33(C), pages 346-365.
  102. Hübsch, Arnd & Walther, Ursula, 2012. "The impact of network inhomogeneities on contagion and system stability," CPQF Working Paper Series 32, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  103. Ben R. Craig & Yiming Ma, 2020. "Intermediation in the Interbank Lending Market," Working Papers 20-09, Federal Reserve Bank of Cleveland.
  104. Kartik Anand & Ben Craig & Goetz von Peter, 2015. "Filling in the blanks: network structure and interbank contagion," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 625-636, April.
  105. Ben R. Craig & Michael Koetter & Ulrich Kruger, 2014. "Interbank Lending and Distress: Observables, Unobservables, and Network Structure," Working Papers (Old Series) 1418, Federal Reserve Bank of Cleveland.
  106. Andrea Bacilieri & Pablo Austudillo-Estevez, 2023. "Reconstructing firm-level input-output networks from partial information," Papers 2304.00081, arXiv.org.
  107. Bargigli, Leonardo & Gallegati, Mauro & Riccetti, Luca & Russo, Alberto, 2014. "Network analysis and calibration of the “leveraged network-based financial accelerator”," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 109-125.
  108. Reinders, Henk Jan & Schoenmaker, Dirk & van Dijk, Mathijs, 2023. "A finance approach to climate stress testing," Journal of International Money and Finance, Elsevier, vol. 131(C).
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  110. Bátiz-Zuk Enrique & Lara Sánchez José Luis, 2021. "Revisiting the link between systemic risk and competition based on network theory and interbank exposures," Working Papers 2021-26, Banco de México.
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  112. Kanno, Masayasu, 2016. "The network structure and systemic risk in the global non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 38-53.
  113. Agur, Itai, 2014. "Bank risk within and across equilibria," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 322-333.
  114. Fabio Caccioli & J. Doyne Farmer & Nick Foti & Daniel Rockmore, 2013. "How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network," Papers 1306.3704, arXiv.org.
  115. Diego Aparicio & Daniel Fraiman, 2015. "Banking Networks And Leverage Dependence In Emerging Countries," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 18(07n08), pages 1-21, November.
  116. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
  117. Yun, Tae-Sub & Jeong, Deokjong & Park, Sunyoung, 2019. "“Too central to fail” systemic risk measure using PageRank algorithm," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 251-272.
  118. Hüser, Anne-Caroline & Kok, Christoffer, 2019. "Mapping bank securities across euro area sectors: comparing funding and exposure networks," Working Paper Series 2273, European Central Bank.
  119. Zlatuse Komarkova & Vaclav Hausenblas & Jan Frait, 2012. "How To Identify Systemically Important Financial Institutions," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 100-111, Czech National Bank.
  120. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
  121. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
  122. Allen, Franklin & Gu, Xian, 2018. "The Interplay between Regulations and Financial Stability," CEPR Discussion Papers 12862, C.E.P.R. Discussion Papers.
  123. Capponi, Agostino & Corell, Felix & Stiglitz, Joseph E., 2022. "Optimal bailouts and the doom loop with a financial network," Journal of Monetary Economics, Elsevier, vol. 128(C), pages 35-50.
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  125. Castrén, Olli & Rancan, Michela, 2014. "Macro-Networks: An application to euro area financial accounts," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 43-58.
  126. Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022. "Backtesting macroprudential stress tests," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  127. Lewis Webber & Matthew Willison, 2011. "Systemic capital requirements," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 44-50, Bank for International Settlements.
  128. C. Gouriéroux & J.-C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics, Canadian Economics Association, vol. 45(4), pages 1273-1309, November.
  129. Tomas Klinger & Petr Teply, 2017. "Agent-Based Risk Assessment Model of the European Banking Network," CERGE-EI Working Papers wp602, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  130. Buse, Rebekka & Schienle, Melanie & Urban, Jörg, 2022. "Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?," Journal of International Economics, Elsevier, vol. 139(C).
  131. Zachary Feinstein & Fatena El-Masri, 2015. "The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks," Papers 1507.01847, arXiv.org, revised Oct 2016.
  132. Cappelletti, Giuseppe & Mistrulli, Paolo Emilio, 2023. "The role of credit lines and multiple lending in financial contagion and systemic events," Journal of Financial Stability, Elsevier, vol. 67(C).
  133. Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, vol. 9(1), pages 1-12.
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