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Towards a Framework for Quantifying Systemic Stability

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  1. Alla, Zineddine & Espinoza, Raphael & Li, Helen & Segoviano, Miguel, 2018. "Macroprudential stress tests: a reduced-form approach to quantifying systemic risk losses," LSE Research Online Documents on Economics 118930, London School of Economics and Political Science, LSE Library.
  2. 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.
  3. Claus Puhr & Reinhardt Seliger & Michael Sigmund, 2012. "Contagiousness and Vulnerability in the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 62-78.
  4. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
  5. Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
  6. 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.
  7. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
  8. Bargigli, Leonardo & Gallegati, Mauro, 2011. "Random digraphs with given expected degree sequences: A model for economic networks," Journal of Economic Behavior & Organization, Elsevier, vol. 78(3), pages 396-411, May.
  9. Souza, Sergio R.S. & Tabak, Benjamin M. & Silva, Thiago C. & Guerra, Solange M., 2015. "Insolvency and contagion in the Brazilian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 140-151.
  10. Hana Hejlová & Zlatuše Komárková & Marek Rusnák, . "A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards," Prague Economic Papers, University of Economics, Prague, vol. 0.
  11. Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2013. "A network model of financial system resilience," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 219-235.
  12. repec:hum:wpaper:sfb649dp2011-051 is not listed on IDEAS
  13. 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.
  14. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123, Central Bank of Chile.
  15. Burrows, Oliver & Learmonth, David & McKeown, jack & Williams, Richard, 2012. "RAMSI: a top-down stress-testing model developed at the Bank of England," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 204-212.
  16. Souza, Sergio Rubens Stancato de, 2016. "Capital requirements, liquidity and financial stability: The case of Brazil," Journal of Financial Stability, Elsevier, vol. 25(C), pages 179-192.
  17. Batiz-Zuk, Enrique & López-Gallo, Fabrizio & Martínez-Jaramillo, Serafín & Solórzano-Margain, Juan Pablo, 2016. "Calibrating limits for large interbank exposures from a system-wide perspective," Journal of Financial Stability, Elsevier, vol. 27(C), pages 198-216.
  18. Foti, Nicholas J. & Pauls, Scott & Rockmore, Daniel N., 2013. "Stability of the World Trade Web over time – An extinction analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1889-1910.
  19. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410, Central Bank of Chile.
  20. Zineddine Alla & Mr. Raphael A Espinoza & Qiaoluan H. Li & Miguel A. Segoviano, 2018. "Macroprudential Stress Tests: A Reduced-Form Approach to Quantifying Systemic Risk Losses," IMF Working Papers 2018/049, International Monetary Fund.
  21. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 730-742, April.
  22. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
  23. Hana Hejlová & Zlatuše Komárková & Marek Rusnák, 2020. "A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(3), pages 251-273.
  24. 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.
  25. Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2014. "Mapping the UK interbank system," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 288-303.
  26. Martinez-Jaramillo, Serafin & Alexandrova-Kabadjova, Biliana & Bravo-Benitez, Bernardo & Solórzano-Margain, Juan Pablo, 2014. "An empirical study of the Mexican banking system’s network and its implications for systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 242-265.
  27. Pawe{l} Smaga & Mateusz Wili'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec, 2016. "Can banks default overnight? Modeling endogenous contagion on O/N interbank market," Papers 1603.05142, arXiv.org.
  28. N. Foti & S. Pauls & Daniel N. Rockmore, 2011. "Stability of the World Trade Web over Time - An Extinction Analysis," Papers 1104.4380, arXiv.org, revised May 2011.
  29. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  30. 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.
  31. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
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