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Leverage-induced systemic risk under Basle II and other credit risk policies

Citations

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Cited by:

  1. Popoyan, Lilit & Napoletano, Mauro & Roventini, Andrea, 2017. "Taming macroeconomic instability: Monetary and macro-prudential policy interactions in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 134(C), pages 117-140.
  2. Thonifho Pollen Muridili & Ruschelle Sgammini & Sune Ferreira-Schenk & John George Jansen van Rensburg & Daniel Mokatsanyane, 2022. "The Impact of Covid-19 on the Performance of Hedge Funds Compared to Mutual Funds in South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 12(6), pages 133-144, November.
  3. Aymeric Vie & J. Doyne Farmer, 2023. "Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II," Papers 2302.01216, arXiv.org.
  4. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  5. Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Alessandro Sapio & Andrea Roventini & Tomas Balint & Igor Khorenzhenko, 2017. "Taming macroeconomic instability," PSE-Ecole d'économie de Paris (Postprint) hal-03399574, HAL.
  6. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
  7. Klimek, Peter & Poledna, Sebastian & Doyne Farmer, J. & Thurner, Stefan, 2015. "To bail-out or to bail-in? Answers from an agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 144-154.
  8. Karlis, Alexandros & Galanis, Giorgos & Terovitis, Spyridon & Turner, Matthew, 2015. "Hedging against Risk in a Heterogeneous Leveraged Market," The Warwick Economics Research Paper Series (TWERPS) 1084, University of Warwick, Department of Economics.
  9. repec:hal:spmain:info:hdl:2441/1j4v8sl4fc9a49ankmnhv6bb6a is not listed on IDEAS
  10. repec:hal:spmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  11. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
  12. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Documents de travail du Centre d'Economie de la Sorbonne 17059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  13. Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  14. repec:spo:wpmain:info:hdl:2441/1j4v8sl4fc9a49ankmnhv6bb6a is not listed on IDEAS
  15. Poledna, Sebastian & Molina-Borboa, José Luis & Martínez-Jaramillo, Serafín & van der Leij, Marco & Thurner, Stefan, 2015. "The multi-layer network nature of systemic risk and its implications for the costs of financial crises," Journal of Financial Stability, Elsevier, vol. 20(C), pages 70-81.
  16. repec:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  17. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Post-Print hal-01951164, HAL.
  18. Piero Mazzarisi & Fabrizio Lillo & Stefano Marmi, 2018. "When panic makes you blind: a chaotic route to systemic risk," Papers 1805.00785, arXiv.org.
  19. Popoyan, Lilit & Napoletano, Mauro & Roventini, Andrea, 2020. "Winter is possibly not coming: Mitigating financial instability in an agent-based model with interbank market," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  20. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
  21. Naji Massad & J{o}rgen Vitting Andersen, 2019. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Papers 1902.10800, arXiv.org.
  22. Karlis, Alexandros & Galanis, Girogos & Terovitis, Spyridon & Turner, Matthew, 2017. "Heterogeneity and Clustering of Defaults," Economic Research Papers 270011, University of Warwick - Department of Economics.
  23. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01673333, HAL.
  24. Poledna, Sebastian & Bochmann, Olaf & Thurner, Stefan, 2017. "Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 230-246.
  25. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
  26. repec:spo:wpmain:info:hdl:2441/5hussro0tc951q0jqpu8quliqu is not listed on IDEAS
  27. Adachi-Sato, Meg & Vithessonthi, Chaiporn, 2021. "Bank risk-taking and corporate investment: Evidence from the Global Financial Crisis of 2007–2009," Global Finance Journal, Elsevier, vol. 49(C).
  28. Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Post-Print halshs-01673333, HAL.
  29. Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
  30. Aymanns, Christoph & Georg, Co-Pierre, 2015. "Contagious synchronization and endogenous network formation in financial networks," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 273-285.
  31. Matteo G. Richiardi, 2017. "The Future of Agent-Based Modeling," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 271-287, March.
  32. repec:hal:spmain:info:hdl:2441/5hussro0tc951q0jqpu8quliqu is not listed on IDEAS
  33. A. K. Karlis & G. Galanis & S. Terovitis & M. S. Turner, 2021. "Heterogeneity and clustering of defaults," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1533-1549, September.
  34. 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.
  35. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Risks, MDPI, vol. 6(4), pages 1-13, September.
  36. Lillo, Fabrizio & Pirino, Davide, 2015. "The impact of systemic and illiquidity risk on financing with risky collateral," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 180-202.
  37. Naji Massad & Jørgen Vitting Andersen, 2018. "Three Different Ways Synchronization Can Cause Contagion in Financial Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01951164, HAL.
  38. Hosszú, Zsuzsanna & Mérő, Bence, 2017. "Hitelciklusok és anticiklikus tőkepuffer egy ágensalapú keynesi modellben [Credit cycles and the counter-cyclical capital buffer in an agent-based Keynesian model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 457-475.
  39. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.
  40. Khaldoun Khashanah & Talal Alsulaiman, 2017. "Connectivity, Information Jumps, and Market Stability: An Agent-Based Approach," Complexity, Hindawi, vol. 2017, pages 1-16, August.
  41. J. Farmer & Cameron Hepburn & Penny Mealy & Alexander Teytelboym, 2015. "A Third Wave in the Economics of Climate Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 62(2), pages 329-357, October.
  42. Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
  43. Bernardo A. Furtado & Miguel A. Fuentes & Claudio J. Tessone, 2019. "Policy Modeling and Applications: State-of-the-Art and Perspectives," Complexity, Hindawi, vol. 2019, pages 1-11, February.
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