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Network models of financial systemic risk: a review

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Cited by:

  1. Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
  2. 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).
  3. Tomaso Aste, 2020. "Stress testing and systemic risk measures using multivariate conditional probability," Papers 2004.06420, arXiv.org, revised May 2021.
  4. Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  5. Tamás Sebestyén & Dóra Longauer, 2018. "Network structure, equilibrium and dynamics in a monopolistically competitive economy," Netnomics, Springer, vol. 19(3), pages 131-157, December.
  6. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
  7. Aymeric Vié & Alfredo J. Morales, 2021. "How Connected is Too Connected? Impact of Network Topology on Systemic Risk and Collapse of Complex Economic Systems," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1327-1351, April.
  8. 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.
  9. 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).
  10. 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.
  11. Kobayashi, Teruyoshi & Takaguchi, Taro, 2018. "Identifying relationship lending in the interbank market: A network approach," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 20-36.
  12. 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).
  13. Pedro Calleja & Francesc Llerena, 2023. "Proportional clearing mechanisms in financial systems: an axiomatic approach," UB School of Economics Working Papers 2023/442, University of Barcelona School of Economics.
  14. 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.
  15. Jaime F. Lavin & Mauricio A. Valle & Nicolás S. Magner, 2019. "Modeling Overlapped Mutual Funds’ Portfolios: A Bipartite Network Approach," Complexity, Hindawi, vol. 2019, pages 1-20, July.
  16. 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.
  17. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2018. "Systemic risk assessment through high order clustering coefficient," Papers 1810.13250, arXiv.org, revised Jul 2020.
  18. Carlos León & Javier Miguélez, 2021. "Securities cross-holding in the Colombian financial system: a topological approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 786-806, February.
  19. Linhai Zhao & Yingjie Li & Yenchun Jim Wu, 2022. "An Identification Algorithm of Systemically Important Financial Institutions Based on Adjacency Information Entropy," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1735-1753, April.
  20. 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.
  21. Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020. "Systemic financial risk indicators and securitised assets: an agent-based framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
  22. 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).
  23. Nandita Bhattacharjee & Ambika Prasad Pati, 2023. "Exploring Systemic Risk Measurement Issues in Shadow Banks: A Case of an Emerging Economy," South Asian Journal of Macroeconomics and Public Finance, , vol. 12(2), pages 186-217, December.
  24. Kotlicki, Artur & Austin, Andrea & Humphry, David & Burnett, Hanna & Ridgill, Philip & Smith, Sam, 2023. "Network analysis of the UK reinsurance market," Bank of England working papers 1000, Bank of England.
  25. Gaffeo Edoardo & Gobbi Lucio, 2021. "Achieving financial stability during a liquidity crisis: a multi-objective approach," Risk Management, Palgrave Macmillan, vol. 23(1), pages 48-74, June.
  26. Marnix Van Soom & Milan Van Den Heuvel & Jan Ryckebusch & Koen Schoors, 2019. "Loan Maturity Aggregation In Interbank Lending Networks Obscures Mesoscale Structure And Economic Functions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/952, Ghent University, Faculty of Economics and Business Administration.
  27. Zhao, Longfeng & Yang, Yajie & Bai, Xiao & Chen, Lin & Lu, An-Liang & Zhang, Xin & Chen, Wei-Qiang, 2023. "Structure, robustness and supply risk in the global wind turbine trade network," Renewable and Sustainable Energy Reviews, Elsevier, vol. 177(C).
  28. Teruyoshi Kobayashi & Anna Sapienza & Emilio Ferrara, 2018. "Extracting the multi-timescale activity patterns of online financial markets," Papers 1802.07405, arXiv.org, revised Apr 2018.
  29. 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.
  30. Aymeric Vi'e & Alfredo J. Morales, 2019. "How connected is too connected? Impact of network topology on systemic risk and collapse of complex economic systems," Papers 1912.09814, arXiv.org.
  31. Fabrizio Lillo & Giorgio Rizzini, 2024. "Modelling shock propagation and resilience in financial temporal networks," Papers 2407.09340, arXiv.org.
  32. Maehashi, Kohei, 2021. "Systemic risk of portfolio diversification," Economics Letters, Elsevier, vol. 208(C).
  33. Chen, Ren-Raw & Zhang, Xiaohu, 2024. "From liquidity risk to systemic risk: A use of knowledge graph," Journal of Financial Stability, Elsevier, vol. 70(C).
  34. Clemente, Gian Paolo & Cornaro, Alessandra, 2022. "A multilayer approach for systemic risk in the insurance sector," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  35. Mario Maggi & Maria-Laura Torrente & Pierpaolo Uberti, 2020. "Proper measures of connectedness," Annals of Finance, Springer, vol. 16(4), pages 547-571, December.
  36. Mikhail Stolbov & Daniil Parfenov, 2023. "Credit risk linkages in the international banking network, 2000–2019," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-38, September.
  37. Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2020. "Modelling fire sale contagion across banks and non-banks," Bank of England working papers 878, Bank of England, revised 18 Feb 2021.
  38. Calleja, Pedro & Llerena, Francesc, 2024. "Proportional clearing mechanisms in financial systems: An axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 111(C).
  39. Dragos Gorduza & Xiaowen Dong & Stefan Zohren, 2022. "Understanding stock market instability via graph auto-encoders," Papers 2212.04974, arXiv.org.
  40. Teruyoshi Kobayashi & Tomokatsu Onaga, 2023. "Dynamics of diffusion on monoplex and multiplex networks: a message-passing approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 76(1), pages 251-287, July.
  41. Tomaso Aste, 2021. "Stress Testing and Systemic Risk Measures Using Elliptical Conditional Multivariate Probabilities," JRFM, MDPI, vol. 14(5), pages 1-17, May.
  42. Jean-Philippe Bouchaud, 2024. "The Self-Organized Criticality Paradigm in Economics & Finance," Papers 2407.10284, arXiv.org, revised Sep 2024.
  43. 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).
  44. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2018. "Asset allocation: new evidence through network approaches," Papers 1810.09825, arXiv.org.
  45. Sigmund, Michael & Siebenbrunner, Christoph, 2024. "Do interbank markets price systemic risk?," Journal of Financial Stability, Elsevier, vol. 71(C).
  46. Moshe Babaioff & Yoav Kolumbus & Eyal Winter, 2020. "Optimal Collaterals in Multi-Enterprise Investment Networks," Papers 2011.06247, arXiv.org, revised Mar 2022.
  47. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2021. "Asset allocation: new evidence through network approaches," Annals of Operations Research, Springer, vol. 299(1), pages 61-80, April.
  48. Christoph Siebenbrunner, 2021. "Quantifying the importance of different contagion channels as sources of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 103-131, January.
  49. Andrei P. Kirilyuk, 2017. "Unified Complex-Dynamical Theory Of Financial, Economic, And Social Risks And Their Efficient Management: Reason-Based Governance For Sustainable Development," Post-Print hal-01797479, HAL.
  50. Roy Cerqueti & Gian Paolo Clemente & Rosanna Grassi, 2021. "Systemic risk assessment through high order clustering coefficient," Annals of Operations Research, Springer, vol. 299(1), pages 1165-1187, April.
  51. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  52. Karim Belcaid & Sara El Aoufi & Mamdouh Abdulaziz Saleh Al-Faryan, 2024. "Dynamics of Contagion Risk Among World Markets in Times of Crises: A Financial Network Perspective," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1007-1033, December.
  53. Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2024. "Modelling fire sale contagion across banks and non-banks," Journal of Financial Stability, Elsevier, vol. 71(C).
  54. Nils Bertschinger & Axel A. Araneda, 2021. "Cross-ownership as a structural explanation for rising correlations in crisis times," Papers 2112.04824, arXiv.org.
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