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DebtRank: A Microscopic Foundation for Shock Propagation

Citations

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Cited by:

  1. Balint, T. & Lamperti, F. & Mandel, A. & Napoletano, M. & Roventini, A. & Sapio, A., 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Ecological Economics, Elsevier, vol. 138(C), pages 252-265.
  2. Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2018. "Network models of financial systemic risk: a review," Journal of Computational Social Science, Springer, vol. 1(1), pages 81-114, January.
  3. Yongli Li & Guanghe Liu & Paolo Pin, 2018. "Network-based risk measurements for interbank systems," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-18, July.
  4. repec:hal:spmain:info:hdl:2441/5qr7f0k4sk8rbq4do5u6v70rm0 is not listed on IDEAS
  5. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
  6. Hu Wang & Shouwei Li, 2023. "Identifying Systemically Important Banks Based on an Improved DebtRank Model," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1505-1523, December.
  7. Barroso, João Barata Ribeiro Blanco & Silva, Thiago Christiano & Souza, Sergio Rubens Stancato de, 2018. "Identifying systemic risk drivers in financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 650-674.
  8. Ricciardi, Gianmarco & Montagna, Guido & Caldarelli, Guido & Cimini, Giulio, 2023. "Dimensional reduction of solvency contagion dynamics on financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
  9. Michel Alexandre & Thiago Christiano Silva & Colm Connaughton & Francisco A. Rodrigues, 2021. "The Role of (non-)Topological Features as Drivers of Systemic Risk: a machine learning approach," Working Papers Series 556, Central Bank of Brazil, Research Department.
  10. Andrea Gurgone & Giulia Iori, 2022. "Macroprudential capital buffers in heterogeneous banking networks: insights from an ABM with liquidity crises," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1399-1445, October.
  11. João Barata Ribeiro Blanco Barroso & Thiago Christiano Silva & Sergio Rubens Stancato de Souza, 2016. "Decomposition of Systemic Risk Drivers in Evolving Financial Networks," Working Papers Series 448, Central Bank of Brazil, Research Department.
  12. Silva, Thiago Christiano & Guerra, Solange Maria & Tabak, Benjamin Miranda, 2020. "Fiscal risk and financial fragility," Emerging Markets Review, Elsevier, vol. 45(C).
  13. Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021. "Quantification of systemic risk from overlapping portfolios in the financial system," Journal of Financial Stability, Elsevier, vol. 52(C).
  14. 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.
  15. Chiara Perillo & Stefano Battiston, 2020. "Financialization and unconventional monetary policy: a financial-network analysis," Journal of Evolutionary Economics, Springer, vol. 30(5), pages 1385-1428, November.
  16. Roncoroni, Alan & Battiston, Stefano & D’Errico, Marco & Hałaj, Grzegorz & Kok, Christoffer, 2021. "Interconnected banks and systemically important exposures," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  17. Marco Bardoscia & Ginestra Bianconi & Gerardo Ferrara, 2019. "Multiplex network analysis of the UK over‐the‐counter derivatives market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1520-1544, October.
  18. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
  19. Michel Alexandre & Thiago Christiano Silva, 2023. "Labor Market and Systemic Risk: a network-based approach," Working Papers Series 584, Central Bank of Brazil, Research Department.
  20. 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).
  21. Alexandre, Michel & Silva, Thiago Christiano & Connaughton, Colm & Rodrigues, Francisco A., 2021. "The drivers of systemic risk in financial networks: a data-driven machine learning analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  22. Alessandro Ferracci & Giulio Cimini, 2021. "Systemic risk in interbank networks: disentangling balance sheets and network effects," Papers 2109.14360, arXiv.org, revised Sep 2022.
  23. Landaberry, Victoria & Caccioli, Fabio & Rodriguez-Martinez, Anahi & Baron, Andrea & Martinez-Jaramillo, Serafin & Lluberas, Rodrigo, 2021. "The contribution of the intra-firm exposures network to systemic risk," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(2).
  24. Gian Paolo Clemente & Rosanna Grassi & Chiara Pederzoli, 2020. "Networks and market-based measures of systemic risk: the European banking system in the aftermath of the financial crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 159-181, January.
  25. Abhijit Chakraborty & Tobias Reisch & Christian Diem & Pablo Astudillo-Estévez & Stefan Thurner, 2024. "Inequality in economic shock exposures across the global firm-level supply network," Nature Communications, Nature, vol. 15(1), pages 1-8, December.
  26. Naqvi, Asjad & Monasterolo, Irene, 2019. "Natural Disasters, Cascading Losses, and Economic Complexity: A Multi-layer Behavioral Network Approach," Ecological Economic Papers 24, WU Vienna University of Economics and Business.
  27. Silva, Thiago Christiano & Alexandre, Michel da Silva & Tabak, Benjamin Miranda, 2018. "Bank lending and systemic risk: A financial-real sector network approach with feedback," Journal of Financial Stability, Elsevier, vol. 38(C), pages 98-118.
  28. X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
  29. 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).
  30. 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.
  31. Antoine Mandel & Timothy Tiggeloven & Daniel Lincke & Elco Koks & Philip Ward & Jochen Hinkel, 2021. "Risks on global financial stability induced by climate change: the case of flood risks," Climatic Change, Springer, vol. 166(1), pages 1-24, May.
  32. 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.
  33. Silva, Thiago Christiano & da Silva, Michel Alexandre & Tabak, Benjamin Miranda, 2017. "Systemic risk in financial systems: A feedback approach," Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 97-120.
  34. 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.
  35. 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.
  36. Dahlqvist, Carl-Henrik & Gnabo, Jean-Yves, 2018. "Effective network inference through multivariate information transfer estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 376-394.
  37. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  38. 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.
  39. 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.
  40. FUJIWARA Yoshi & TERAI Masaaki & FUJITA Yuji & SOUMA Wataru, 2016. "DebtRank Analysis of Financial Distress Propagation on a Production Network in Japan," Discussion papers 16046, Research Institute of Economy, Trade and Industry (RIETI).
  41. Hayato Goto & Hideki Takayasu & Misako Takayasu, 2017. "Estimating risk propagation between interacting firms on inter-firm complex network," PLOS ONE, Public Library of Science, vol. 12(10), pages 1-12, October.
  42. Thiago Christiano Silva & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2016. "Modeling Financial Networks: a feedback approach," Working Papers Series 438, Central Bank of Brazil, Research Department.
  43. 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).
  44. Abduraimova, Kumushoy & Nahai-Williamson, Paul, 2021. "Solvency distress contagion risk: network structure, bank heterogeneity and systemic resilience," Bank of England working papers 909, Bank of England.
  45. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
  46. 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.
  47. 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.
  48. Cuba, Walter & Rodriguez-Martinez, Anahi & Chavez, Diego A. & Caccioli, Fabio & Martinez-Jaramillo, Serafin, 2021. "A network characterization of the interbank exposures in Peru," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
  49. 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.
  50. Stolbova, Veronika & Monasterolo, Irene & Battiston, Stefano, 2018. "A Financial Macro-Network Approach to Climate Policy Evaluation," Ecological Economics, Elsevier, vol. 149(C), pages 239-253.
  51. 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).
  52. Lv, Jiamin & Ben, Shenglin & Huang, Wenli & Xu, Yueling, 2023. "How to reduce the default contagion risk of intercorporate credit guarantee networks? Evidence from China," Emerging Markets Review, Elsevier, vol. 55(C).
  53. Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.
  54. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
  55. 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.
  56. Deng, Yang & Zhang, Ziqing & Zhu, Li, 2021. "A model-based index for systemic risk contribution measurement in financial networks," Economic Modelling, Elsevier, vol. 95(C), pages 35-48.
  57. Macchiati, Valentina & Mazzarisi, Piero & Garlaschelli, Diego, 2024. "Interbank network reconstruction enforcing density and reciprocity," Chaos, Solitons & Fractals, Elsevier, vol. 186(C).
  58. Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
  59. Zhibin Niu & Junqi Wu & Dawei Cheng & Jiawan Zhang, 2021. "Regshock: Interactive Visual Analytics of Systemic Risk in Financial Networks," Papers 2104.11863, arXiv.org.
  60. repec:hal:spmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4 is not listed on IDEAS
  61. Yanquen, Eduardo & Livan, Giacomo & Montañez-Enriquez, Ricardo & Martinez-Jaramillo, Serafin, 2022. "Measuring systemic risk for bank credit networks: A multilayer approach," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
  62. Chiara Perillo & Stefano Battiston, 2020. "Real implications of Quantitative Easing in the euro area: a complex-network perspective," Papers 2004.09418, arXiv.org.
  63. repec:spo:wpmain:info:hdl:2441/5qr7f0k4sk8rbq4do5u6v70rm0 is not listed on IDEAS
  64. 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.
  65. Nicola, Giancarlo & Cerchiello, Paola & Aste, Tomaso, 2020. "Information network modeling for U.S. banking systemic risk," LSE Research Online Documents on Economics 107563, London School of Economics and Political Science, LSE Library.
  66. Ioannis Anagnostou & Sumit Sourabh & Drona Kandhai, 2018. "Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory," Complexity, Hindawi, vol. 2018, pages 1-15, January.
  67. 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.
  68. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
  69. Le, Richard & Ku, Hyejin, 2022. "Reducing systemic risk in a multi-layer network using reinforcement learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).
  70. Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
  71. Andrea Gabrielli & Valentina Macchiati & Diego Garlaschelli, 2023. "Critical density for network reconstruction," Papers 2305.17285, arXiv.org.
  72. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Almeida, Carlos Eduardo de, 2019. "Bailing in Banks: costs and benefits," Journal of Financial Stability, Elsevier, vol. 45(C).
  73. Siebenbrunner, Christoph & Hafner-Guth, Martin & Spitzer, Ralph & Trappl, Stefan, 2024. "Assessing the systemic risk impact of bank bail-ins," Journal of Financial Stability, Elsevier, vol. 71(C).
  74. Bardoscia, Marco & Barucca, Paolo & Brinley Codd, Adam & Hill, John, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
  75. Asjad Naqvi & Franziska Gaupp & Stefan Hochrainer-Stigler, 2020. "The risk and consequences of multiple breadbasket failures: an integrated copula and multilayer agent-based modeling approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 42(3), pages 727-754, September.
  76. Marco Bardoscia & Fabio Caccioli & Juan Ignacio Perotti & Gianna Vivaldo & Guido Caldarelli, 2016. "Distress Propagation in Complex Networks: The Case of Non-Linear DebtRank," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-12, October.
  77. Kanno, Masayasu, 2022. "Exploring risks in syndicated loan networks: Evidence from real estate investment trusts," Economic Modelling, Elsevier, vol. 115(C).
  78. Diem, Christian & Pichler, Anton & Thurner, Stefan, 2020. "What is the minimal systemic risk in financial exposure networks?," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  79. Michel Alexandre & Thiago Christiano Silva & Francisco Aparecido Rodrigues, 2024. "Critical Edges in Financial Networks," Working Papers Series 594, Central Bank of Brazil, Research Department.
  80. Michel Alexandre & Felipe Jordão Xavier & Thiago Christiano Silva & Francisco A. Rodrigues, 2022. "Nestedness in the Brazilian Financial System," Working Papers Series 566, Central Bank of Brazil, Research Department.
  81. Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  82. 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).
  83. Caceres-Santos, Jonnathan & Rodriguez-Martinez, Anahi & Caccioli, Fabio & Martinez-Jaramillo, Serafin, 2020. "Systemic risk and other interdependencies among banks in Bolivia," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  84. Iori, G. & Gurgone, A., 2019. "A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements," Working Papers 19/05, Department of Economics, City University London.
  85. repec:spo:wpmain:info:hdl:2441/1nlv566svi86iqtetenms15tc4 is not listed on IDEAS
  86. Thiago Christiano Silva & Solange Maria Guerra & Michel Alexandre da Silva & Benjamin Miranda Tabak, 2018. "Interconnectedness, Firm Resilience and Monetary Policy," Working Papers Series 478, Central Bank of Brazil, Research Department.
  87. 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.
  88. Bardoscia, Marco & Ka-Kay Pang, Raymond, 2023. "Ring-fencing in financial networks," Bank of England working papers 1046, Bank of England.
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