Derivatives and credit contagion in interconnected networks
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Bibliographic InfoArticle provided by Springer in its journal The European Physical Journal B.
Volume (Year): 85 (2012)
Issue (Month): 4 (April)
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Web page: http://www.springer.com/economics/journal/10051
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010.
"Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks,"
Economics Discussion Papers
683, University of Essex, Department of Economics.
- Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010. "Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Working Papers 033, COMISEF.
- Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov, 2012. "Credit Risk Contagion and the Global Financial Crisis," IMES Discussion Paper Series 12-E-15, Institute for Monetary and Economic Studies, Bank of Japan.
- Vuillemey, Guillaume & Peltonen, Tuomas A., 2013. "Disentangling the bond-CDS nexus: a stress test model of the CDS market," Working Paper Series 1599, European Central Bank.
- Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
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