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Stability analysis of financial contagion due to overlapping portfolios

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Cited by:

  1. Ren, Meixu & Zhao, Jingmei & Ke, Konglin & Li, Yidong, 2023. "Bank homogeneity and risk-taking: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 142-154.
  2. Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2021. "Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem," Journal of Financial Stability, Elsevier, vol. 52(C).
  3. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
  4. Farmer, J Doyne & Kleinnijenhuis, Alissa M & Nahai-Williamson, Paul & Wetzer, Thom, 2020. "Foundations of system-wide financial stress testing with heterogeneous institutions," Bank of England working papers 861, Bank of England.
  5. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
  6. Luca Riccetti & Alberto Russo & Mauro Gallegati, 2022. "Firm–bank credit network, business cycle and macroprudential policy," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 475-499, April.
  7. Wolski, Marcin & van de Leur, Michiel, 2016. "Interbank loans, collateral and modern monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 388-416.
  8. Zachary Feinstein, 2018. "Capital Regulation under Price Impacts and Dynamic Financial Contagion," Papers 1807.02711, arXiv.org, revised Aug 2019.
  9. Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
  10. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
  11. 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.
  12. Xie, Yiwei & Jiao, Feng & Li, Shihan & Liu, Qingfu & Tse, Yiuman, 2022. "Systemic risk in financial institutions: A multiplex network approach," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  13. 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).
  14. Feinstein, Zachary, 2020. "Capital regulation under price impacts and dynamic financial contagion," European Journal of Operational Research, Elsevier, vol. 281(2), pages 449-463.
  15. Bichuch, Maxim & Feinstein, Zachary, 2022. "A repo model of fire sales with VWAP and LOB pricing mechanisms," European Journal of Operational Research, Elsevier, vol. 296(1), pages 353-367.
  16. 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.
  17. Andrea Flori & Fabrizio Lillo & Fabio Pammolli & Alessandro Spelta, 2021. "Better to stay apart: asset commonality, bipartite network centrality, and investment strategies," Annals of Operations Research, Springer, vol. 299(1), pages 177-213, April.
  18. Yichen Zhou & Honggang Li, 2019. "Asset diversification and systemic risk in the financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 247-272, June.
  19. 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.
  20. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  21. Celso Brunetti & Jeffrey H. Harris & Shawn Mankad, 2018. "Bank Holdings and Systemic Risk," Finance and Economics Discussion Series 2018-063, Board of Governors of the Federal Reserve System (U.S.).
  22. Castrén, Olli & Kavonius, Ilja Kristian & Rancan, Michela, 2022. "Digital currencies in financial networks," Journal of Financial Stability, Elsevier, vol. 60(C).
  23. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020. "Reconstructing and stress testing credit networks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  24. 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.
  25. Guo Weilong & Minca Andreea & Wang Li, 2016. "The topology of overlapping portfolio networks," Statistics & Risk Modeling, De Gruyter, vol. 33(3-4), pages 139-155, December.
  26. 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).
  27. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2014. "Risk in a large claims insurance market with bipartite graph structure," Papers 1410.8671, arXiv.org, revised Nov 2015.
  28. Nevermann, Daniel & Heckmann, Lotta, 2023. "Effects of mergers on network models of the financial system," Discussion Papers 29/2023, Deutsche Bundesbank.
  29. Luu, Duc Thi & Lux, Thomas, 2018. "Multilayer overlaps and correlations in the bank-firm credit network of Spain," Economics Working Papers 2018-04, Christian-Albrechts-University of Kiel, Department of Economics.
  30. V. Sasidevan & Nils Bertschinger, 2019. "Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches," Papers 1912.05273, arXiv.org.
  31. Peilong Shen & Zhinan Li, 2020. "Financial contagion in inter-bank networks with overlapping portfolios," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 845-865, October.
  32. Amini, Hamed & Bichuch, Maxim & Feinstein, Zachary, 2023. "Decentralized payment clearing using blockchain and optimal bidding," European Journal of Operational Research, Elsevier, vol. 309(1), pages 409-420.
  33. Huang, Yajing & Liu, Taoxiong & Lien, Donald, 2023. "Portfolio homogeneity and systemic risk of financial networks," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 248-275.
  34. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
  35. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
  36. Aymanns, Christoph & Farmer, J. Doyne, 2015. "The dynamics of the leverage cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 155-179.
  37. Carlos León, 2020. "Banks in Colombia: How Homogeneous Are They?," Revista de Economía del Rosario, Universidad del Rosario, vol. 23(2), pages 1-32, December.
  38. Demir, Müge & Önder, Zeynep, 2019. "Financial connectivity and excessive liquidity: Benefit or risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 203-221.
  39. Teruyoshi Kobayashi & Kohei Hasui, 2013. "Efficient immunization strategies to prevent financial contagion," Papers 1308.0652, arXiv.org, revised Dec 2013.
  40. Lorella Fatone & Francesca Mariani, 2020. "Systemic risk governance in a dynamical model of a banking system with stochastic assets and liabilities," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 183-219, January.
  41. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
  42. 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).
  43. 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).
  44. Pierre Paga & Reimer Kuhn, 2014. "Contagion in an interacting economy," Papers 1409.2625, arXiv.org, revised Mar 2015.
  45. 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.
  46. Shanshan Jiang & Jie Wang & Ruiting Dong & Yutong Li & Min Xia, 2023. "Systemic Risk with Multi-Channel Risk Contagion in the Interbank Market," Sustainability, MDPI, vol. 15(3), pages 1-24, February.
  47. Javier Sánchez García & Salvador Cruz Rambaud, 2024. "The network econometrics of financial concentration," Review of Managerial Science, Springer, vol. 18(7), pages 2007-2045, July.
  48. 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.
  49. Huang, Yajing & Liu, Taoxiong & Lien, Donald, 2017. "Portfolio Homogenization and Systemic Risk of Financial Network," MPRA Paper 82956, University Library of Munich, Germany.
  50. Fricke, Daniel & Roukny, Tarik, 2020. "Generalists and specialists in the credit market," Journal of Banking & Finance, Elsevier, vol. 112(C).
  51. Ren-Yuan Lyu & Ren-Raw Chen & San-Lin Chung & Yilu Zhou, 2024. "Systemic Risk and Bank Networks: A Use of Knowledge Graph with ChatGPT," FinTech, MDPI, vol. 3(2), pages 1-28, May.
  52. Renee Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin, 2017. "Joint tests of contagion with applications to financial crises," CAMA Working Papers 2017-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  53. 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.
  54. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  55. Yan, Chun & Ding, Yi & Liu, Wei & Liu, Xinhong & Liu, Jiahui, 2023. "Multilayer interbank networks and systemic risk propagation: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 628(C).
  56. Tao Xu & Jianmin He & Shouwei Li, 2016. "Multi-Channel Contagion In Dynamic Interbank Market Network," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 19(06n07), pages 1-25, September.
  57. Emmanuel Caiazzo & Alberto Zazzaro, 2023. "Bank Diversity and Financial Contagion," CSEF Working Papers 667, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  58. 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.
  59. 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.
  60. Oliver Kley & Claudia Klüppelberg & Gesine Reinert, 2016. "Risk in a Large Claims Insurance Market with Bipartite Graph Structure," Operations Research, INFORMS, vol. 64(5), pages 1159-1176, October.
  61. 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.
  62. Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  63. Roncoroni, Alan & Battiston, Stefano & Escobar-Farfán, Luis O.L. & Martinez-Jaramillo, Serafin, 2021. "Climate risk and financial stability in the network of banks and investment funds," Journal of Financial Stability, Elsevier, vol. 54(C).
  64. Walter Farkas & Patrick Lucescu, 2024. "Modeling Risk Sharing and Impact on Systemic Risk," Mathematics, MDPI, vol. 12(13), pages 1-19, July.
  65. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach," Discussion Papers 2022/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  66. Chao, Wang & Jing, Ma & Xiaoxing, Liu, 2023. "Optimizing systemic risk through credit network reconstruction," Emerging Markets Review, Elsevier, vol. 57(C).
  67. 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.
  68. Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable Funds?," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168209, Verein für Socialpolitik / German Economic Association.
  69. Koranteng, Barbara & You, Kefei, 2024. "Fintech and financial stability: Evidence from spatial analysis for 25 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 93(C).
  70. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
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  72. Roukny, Tarik & Battiston, Stefano & Stiglitz, Joseph E., 2018. "Interconnectedness as a source of uncertainty in systemic risk," Journal of Financial Stability, Elsevier, vol. 35(C), pages 93-106.
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