Matthew David Willison
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Rajan, Aniruddha & Willison, Matthew, 2018.
"Does lender type matter for the pricing of loans?,"
Bank of England working papers
767, Bank of England.
Cited by:
- Varadi, Alexandra, 2021. "Identifying the transmission channels of credit supply shocks to household debt: price and non-price effects," Bank of England working papers 927, Bank of England.
- Siegert, Casper & Willison, Matthew, 2015.
"Financial Stability Paper 32: Estimating the extent of the ‘too big to fail’ problem – a review of existing approaches,"
Bank of England Financial Stability Papers
32, Bank of England.
Cited by:
- Catão, Luís A.V. & te Kaat, Daniel Marcel, 2021.
"Capital account liberalization and the composition of bank liabilities,"
Journal of International Money and Finance, Elsevier, vol. 116(C).
- Luís A.V. Catão & Daniel Marcel te Kaat, 2018. "Capital Account Liberalization and the Composition of Bank Liabilities," Working Papers REM 2018/53, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Pietro Alessandrini & Michele Fratianni & Luca Papi & Alberto Zazzaro, 2016. "The asymmetric burden of regulation: will local banks survive?," Mo.Fi.R. Working Papers 125, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Stijn Claessens & Nicholas S. Coleman & Michael S. Donnelly, 2017.
"\"Low-For-Long\" Interest Rates and Banks' Interest Margins and Profitability : Cross-Country Evidence,"
International Finance Discussion Papers
1197, Board of Governors of the Federal Reserve System (U.S.).
- Claessens, Stijn & Coleman, Nicholas & Donnelly, Michael, 2018. "“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence," Journal of Financial Intermediation, Elsevier, vol. 35(PA), pages 1-16.
- Patricia Palhau Mora, 2018. "The “Too Big to Fail” Subsidy in Canada: Some Estimates," Staff Working Papers 18-9, Bank of Canada.
- Mark Cassidy & Niamh Hallissey, 2016. "The Introduction of Macroprudential Measures for the Irish Mortgage Market," The Economic and Social Review, Economic and Social Studies, vol. 47(2), pages 271-297.
- Catão, Luís A.V. & te Kaat, Daniel Marcel, 2021.
"Capital account liberalization and the composition of bank liabilities,"
Journal of International Money and Finance, Elsevier, vol. 116(C).
- Garratt, Rodney & Webber, Lewis & Willison, Matthew, 2012.
"Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk,"
Bank of England working papers
468, Bank of England.
Cited by:
- Fuad Aleskerov & Irina Andrievskaya & Elena Permjakova, 2014. "Key Borrowers Detected By The Intensities Of Their Short-range Interactions," HSE Working papers WP BRP 33/FE/2014, National Research University Higher School of Economics.
- Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012.
"A network model of financial system resilience,"
Bank of England working papers
458, Bank of England.
- 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.
- Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2011. "A Network Model of Financial System Resilience," SFB 649 Discussion Papers SFB649DP2011-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Cited by:
- Ockert Pretorius & Ernst Drewes & Mariske van Aswegen & Gerard Malan, 2021. "A Policy Approach towards Achieving Regional Economic Resilience in Developing Countries: Evidence from the SADC," Sustainability, MDPI, vol. 13(5), pages 1-21, March.
- Edoardo Gaffeo & Massimo Molinari, 2014.
"Macroprudential Consolidation Policy in Interbank Networks,"
DEM Discussion Papers
2014/01, Department of Economics and Management.
- E. Gaffeo & M. Molinari, 2016. "Macroprudential consolidation policy in interbank networks," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 77-99, March.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2012.
"Econometric analysis of volatile art markets,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3091-3104.
- Fabian Y. R. P. Bocart & Christian M. Hafner, 2011. "Econometric analysis of volatile art markets," SFB 649 Discussion Papers SFB649DP2011-071, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bocart, Fabian & Hafner, Christian, 2012. "Econometric analysis of volatile art markets," LIDAM Reprints ISBA 2012020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BOCART, F. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers ISBA 2011029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- BOCART, Fabian Y. R. P. & HAFNER, Christian, 2011. "Econometric analysis of volatile art markets," LIDAM Discussion Papers CORE 2011052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ahmadian, Navid & Lim, Gino J. & Cho, Jaeyoung & Bora, Selim, 2020. "A quantitative approach for assessment and improvement of network resilience," Reliability Engineering and System Safety, Elsevier, vol. 200(C).
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2011.
"Semiparametric Estimation with Generated Covariates,"
SFB 649 Discussion Papers
SFB649DP2011-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2014. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers SFB649DP2014-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Giansante, Simone & Manfredi, Sabato & Markose, Sheri, 2023. "Fair immunization and network topology of complex financial ecosystems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
- Gökhan Cebiro˜glu & Ulrich Horst, 2011. "Optimal liquidation in dark pools," SFB 649 Discussion Papers SFB649DP2011-058, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Alter, Adrian & Craig, Ben & Raupach, Peter, 2015.
"Centrality-based capital allocations,"
Discussion Papers
03/2015, Deutsche Bundesbank.
- Mr. Adrian Alter & Ben Craig & Peter Raupach, 2014. "Centrality-based Capital Allocations," IMF Working Papers 2014/237, International Monetary Fund.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-based Capital Allocations," Working Papers (Old Series) 1501, Federal Reserve Bank of Cleveland.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-Based Capital Allocations," International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 329-377, June.
- Fraccascia, Luca & Giannoccaro, Ilaria & Albino, Vito, 2017. "Rethinking Resilience in Industrial Symbiosis: Conceptualization and Measurements," Ecological Economics, Elsevier, vol. 137(C), pages 148-162.
- Giulio Bottazzi & Alessandro De Sanctis & Fabio Vanni, 2016. "Non-performing loans, systemic risk and resilience in financial networks," LEM Papers Series 2016/08, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Vasilis Hatzopoulos & Giulia Iori & Rosario N. Mantegna & Salvatore Miccich� & Michele Tumminello, 2015.
"Quantifying preferential trading in the e-MID interbank market,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 693-710, April.
- Hatzopoulos, V. & Iori, G. & Mantegna, R. & Micciche, S. & Tumminello, M., 2013. "Quantifying preferential trading in the e-MID interbank market," Working Papers 13/14, Department of Economics, City University London.
- Patrick Cheridito & Ulrich Horst & Michael Kupper & Traian A. Pirvu, 2011. "Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences," SFB 649 Discussion Papers SFB649DP2011-083, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jesse M. Keenan & Benjamin D. Trump & William Hynes & Igor Linkov, 2021. "Exploring the Convergence of Resilience Processes and Sustainable Outcomes in Post-COVID, Post-Glasgow Economies," Sustainability, MDPI, vol. 13(23), pages 1-12, December.
- Bertrand, Aurelie & Hafner, Christian, 2011.
"On heterogeneous latent class models with applications to the analysis of rating scores,"
LIDAM Discussion Papers ISBA
2011028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bertrand, Aurelie & Hafner, Christian, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," LIDAM Reprints ISBA 2014027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Aurélie Bertrand & Christian M. Hafner, 2011. "On heterogeneous latent class models with applications to the analysis of rating scores," SFB 649 Discussion Papers SFB649DP2011-062, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Aurélie Bertrand & Christian Hafner, 2014. "On heterogeneous latent class models with applications to the analysis of rating scores," Computational Statistics, Springer, vol. 29(1), pages 307-330, February.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2015.
"Financial Network Systemic Risk Contributions,"
Review of Finance, European Finance Association, vol. 19(2), pages 685-738.
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2012. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2012-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nikolaus Hautsch & Julia Schaumburg & Melanie Schienle, 2011. "Financial Network Systemic Risk Contributions," SFB 649 Discussion Papers SFB649DP2011-072, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Schaumburg, Julia & Schienle, Melanie, 2013. "Financial network systemic risk contributions," CFS Working Paper Series 2013/20, Center for Financial Studies (CFS).
- Chen, Hong & Liu, Bei & Li, Yi & Cai, Yujie, 2022. "The relationship between negative life events and resilience among Chinese service employees: Nonlinearly moderated by lifestyle habits," Journal of Asian Economics, Elsevier, vol. 80(C).
- Uluceviz, Erhan & Yilmaz, Kamil, 2021.
"Measuring real–financial connectedness in the U.S. economy,"
The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Erhan Uluceviz & Kamil Yilmaz, 2018. "Measuring Real-Financial Connectedness in the U.S. Economy," Koç University-TUSIAD Economic Research Forum Working Papers 1812, Koc University-TUSIAD Economic Research Forum.
- Erhan Uluceviz & Kamil Yilmaz, 2018. "Measuring Real-Financial Connectedness in the U.S. Economy," Working Papers 2018-02, Gebze Technical University, Department of Economics.
- Ray-Bing Chen & Ying Chen & Wolfgang Härdle, 2011. "TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data," SFB 649 Discussion Papers SFB649DP2011-054, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Dorothee Schneider, 2011. "The Labor Share: A Review of Theory and Evidence," SFB 649 Discussion Papers SFB649DP2011-069, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nikolaus Hautsch & Ruihong Huang, 2011. "Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data," SFB 649 Discussion Papers SFB649DP2011-056, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Saroyan, Susanna, 2022. "Counterparty choice, maturity shifts and market freezes: lessons from the e-MID interbank market," INET Oxford Working Papers 2022-28, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Zhibin Niu & Junqi Wu & Dawei Cheng & Jiawan Zhang, 2021. "Regshock: Interactive Visual Analytics of Systemic Risk in Financial Networks," Papers 2104.11863, arXiv.org.
- Cabrales, Antonio; Gale, Douglas; Gottardi, Piero, 2015. "Financial Contagion in Networks," Economics Working Papers ECO2015/01, European University Institute.
- Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
- Anand, Kartik & Gai, Prasanna & Marsili, Matteo, 2012.
"Rollover risk, network structure and systemic financial crises,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1088-1100.
- Kartik Anand & Prasanna Gai & Matteo Marsili, 2011. "Rollover risk, network structure and systemic financial crises," SFB 649 Discussion Papers SFB649DP2011-052, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Li, Ping & Guo, Yanhong & Meng, Hui, 2022. "The default contagion of contingent convertible bonds in financial network," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
- Spiros Bougheas & Alan Kirman, 2014.
"Complex Financial Networks and Systemic Risk: A Review,"
Discussion Papers
2014/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Post-Print hal-01505785, HAL.
- Spiros Bougheas & Alan P. Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," CESifo Working Paper Series 4756, CESifo.
- Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 115-139, Springer.
- 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.
- Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2018. "Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach," Post-Print hal-02114928, HAL.
- Tang, Chun & Liu, Xiaoxing & Zhou, Donghai, 2022. "Financial market resilience and financial development: A global perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Ulrich Horst & Michael Kupper & Andrea Macrina & Christoph Mainberger, 2011. "Continuous Equilibrium under Base Preferences and Attainable Initial Endowments," SFB 649 Discussion Papers SFB649DP2011-082, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Julian Caballero, 2012.
"Banking Crises and Financial Integration,"
Research Department Publications
4816, Inter-American Development Bank, Research Department.
- Caballero, Julián, 2012. "Banking Crises and Financial Integration," IDB Publications (Working Papers) 4198, Inter-American Development Bank.
- Yuri Biondi & Feng Zhou, 2017.
"Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stability,"
Papers
1702.08774, arXiv.org.
- Yuri Biondi & Feng Zhou, 2019. "Interbank credit and the money manufacturing process: a systemic perspective on financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 437-468, September.
- Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
- Banwo, Opeoluwa & Caccioli, Fabio & Harrald, Paul & Medda, Francesca, 2017.
"The effect of heterogeneity on financial contagion due to overlapping portfolios,"
LSE Research Online Documents on Economics
69678, London School of Economics and Political Science, LSE Library.
- Opeoluwa Banwo & Fabio Caccioli & Paul Harrald & Francesca Medda, 2017. "The effect of heterogeneity on financial contagion due to overlapping portfolios," Papers 1704.06791, arXiv.org.
- Opeoluwa Banwo & Fabio Caccioli & Paul Harrald & Francesca Medda, 2016. "The Effect Of Heterogeneity On Financial Contagion Due To Overlapping Portfolios," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 19(08), pages 1-20, December.
- Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org, revised Jul 2018.
- Thiago Christiano Silva & Marcos Soares da Silva & Benjamin Miranda Tabak, 2015. "Liquidity Performance Evaluation of the Brazilian Interbank Market using a Network-Based Approach," Working Papers Series 401, Central Bank of Brazil, Research Department.
- Sven Tischer & Lutz Hildebrandt, 2011. "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers SFB649DP2011-065, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gökhan Cebiroğlu & Ulrich Horst, 2011. "Optimal Display of Iceberg Orders," SFB 649 Discussion Papers SFB649DP2011-057, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gabbi, Giampaolo & Iori, Giulia & Jafarey, Saqib & Porter, James, 2015. "Financial regulations and bank credit to the real economy," Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 117-143.
- Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023.
"Macroprudential stress‑test models: a survey,"
Bank of England working papers
1037, Bank of England.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
- Steinbacher, Mitja & Raddant, Matthias & Karimi, Fariba & Camacho-Cuena, Eva & Alfarano, Simone & Iori, Giulia & Lux, Thomas, 2021.
"Advances in the Agent-Based Modeling of Economic and Social Behavior,"
MPRA Paper
107317, University Library of Munich, Germany.
- Mitja Steinbacher & Matthias Raddant & Fariba Karimi & Eva Camacho Cuena & Simone Alfarano & Giulia Iori & Thomas Lux, 2021. "Advances in the agent-based modeling of economic and social behavior," SN Business & Economics, Springer, vol. 1(7), pages 1-24, July.
- Gupta, Aparna & Wang, Runzu & Lu, Yueliang, 2021. "Addressing systemic risk using contingent convertible debt – A network analysis," European Journal of Operational Research, Elsevier, vol. 290(1), pages 263-277.
- Raffaele Fiocco, 2012.
"Competition and regulation with product differentiation,"
Journal of Regulatory Economics, Springer, vol. 42(3), pages 287-307, December.
- Raffaele Fiocco, 2011. "Competition and regulation in a differentiated good market," SFB 649 Discussion Papers SFB649DP2011-084, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Neagu, Florian & Mihai, Irina, 2013. "Sudden stop of capital flows and the consequences for the banking sector and the real economy," Working Paper Series 1591, European Central Bank.
- Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
- Yuanying Guan & Micah Pollak, 2016. "Contagion In Heterogeneous Financial Networks," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 19(01n02), pages 1-25, February.
- Edoardo Gaffeo & Massimo Molinari, 2017.
"A functional perspective on financial networks,"
Working Papers in Public Economics
181, University of Rome La Sapienza, Department of Economics and Law.
- Edoardo Gaffeo & Massimo Molinari, 2016. "A functional perspective to financial networks," DEM Working Papers 2016/06, Department of Economics and Management.
- Edoardo Gaffeo & Massimo Molinari, 2018. "A functional perspective on financial networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 51-79, April.
- Hüser, Anne-Caroline, 2016. "Too interconnected to fail: A survey of the Interbank Networks literature," SAFE Working Paper Series 91, Leibniz Institute for Financial Research SAFE, revised 2016.
- Wolfgang Härdle & Maria Osipenko, 2011. "Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives," SFB 649 Discussion Papers SFB649DP2011-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Felix Naujokat & Ulrich Horst, 2011. "When to Cross the Spread: Curve Following with Singular Control," SFB 649 Discussion Papers SFB649DP2011-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Cristina Ruza & Marta de la Cuesta-González & Juandiego Paredes-Gazquez, 2019. "Banking system resilience: an empirical appraisal," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 46(6), pages 1241-1257, October.
- Lux, Thomas, 2017. "On the distribution of links in financial networks: Structural heterogeneity and functional form," Economics Working Papers 2017-05, Christian-Albrechts-University of Kiel, Department of Economics.
- Iori, Giulia & Mantegna, Rosario N. & Marotta, Luca & Miccichè, Salvatore & Porter, James & Tumminello, Michele, 2015.
"Networked relationships in the e-MID interbank market: A trading model with memory,"
Journal of Economic Dynamics and Control, Elsevier, vol. 50(C), pages 98-116.
- Giulia Iori & Rosario N. Mantegna & Luca Marotta & Salvatore Micciche' & James Porter & Michele Tumminello, 2014. "Networked relationships in the e-MID Interbank market: A trading model with memory," Papers 1403.3638, arXiv.org.
- Alena MyÅ¡iÄ ková & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle, 2011. "Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers SFB649DP2011-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
- Andrea Flori & Simone Giansante & Claudia Girardone & Fabio Pammolli, 2021. "Banks’ business strategies on the edge of distress," Annals of Operations Research, Springer, vol. 299(1), pages 481-530, April.
- EDOARDO GAFFEO & Lucio Gobbi & Massimo Molinari, 2018. "Bilateral netting and systemic liquidity shortages in banking networks," DEM Working Papers 2018/06, Department of Economics and Management.
- Arnd Hübsch & Ursula Walther, 2017. "The impact of network inhomogeneities on contagion and system stability," Annals of Operations Research, Springer, vol. 254(1), pages 61-87, July.
- Opeoluwa Banwo & Paul Harrald & Francesca Medda, 2019. "Understanding the consequences of diversification on financial stability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 273-292, June.
- Thomas Lux, 2020. "On the distribution of links in financial networks: structural heterogeneity and functional form," Empirical Economics, Springer, vol. 58(3), pages 1019-1053, March.
- Andrea Flori & Simone Giansante & Fabio Pammolli, 2016. "Peer-Group Detection of Banks and Resilience to Distress," Working Papers 06/2016, IMT School for Advanced Studies Lucca, revised Dec 2016.
- Gregor Heyne & Michael Kupper & Christoph Mainberger, 2011. "Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators," SFB 649 Discussion Papers SFB649DP2011-067, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Jan Kolesnik, 2021. "The Contagion Effect and its Mitigation in the Modern Banking System," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 1009-1024.
- Ziqiao Ao & Lin William Cong & Gergely Horvath & Luyao Zhang, 2022. "Is decentralized finance actually decentralized? A social network analysis of the Aave protocol on the Ethereum blockchain," Papers 2206.08401, arXiv.org, revised Nov 2023.
- Zhang Li & Xiaojun Lin & Borja Peleato-Inarrea & Ilya Pollak, 2014. "Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks," Papers 1410.2570, arXiv.org, revised Dec 2014.
- Murphy, Gareth & Walsh, Mark & Willison, Matthew, 2012.
"Financial Stability Paper No 16: Precautionary contingent capital,"
Bank of England Financial Stability Papers
16, Bank of England.
Cited by:
- Mark J. Flannery, 2016. "Stabilizing Large Financial Institutions with Contingent Capital Certificates," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-26, June.
- Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).
- Alexis Derviz, 2013.
"Collateral Composition, Diversification Risk, and Systemically Important Merchant Banks,"
Working Papers
2013/11, Czech National Bank.
- Derviz, Alexis, 2014. "Collateral composition, diversification risk, and systemically important merchant banks," Journal of Financial Stability, Elsevier, vol. 14(C), pages 23-34.
- Bernd Rudolph, 2013. "Contingent Convertibles (CoCo-Bonds) als Bail-in-Instrumente für Banken," Schmalenbach Journal of Business Research, Springer, vol. 65(67), pages 97-122, January.
- Webber, Lewis & Willison, Matthew, 2011.
"Systemic capital requirements,"
Bank of England working papers
436, Bank of England.
- 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.
Cited by:
- Alter, Adrian & Craig, Ben & Raupach, Peter, 2015.
"Centrality-based capital allocations,"
Discussion Papers
03/2015, Deutsche Bundesbank.
- Mr. Adrian Alter & Ben Craig & Peter Raupach, 2014. "Centrality-based Capital Allocations," IMF Working Papers 2014/237, International Monetary Fund.
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"Simulating fire sales in a system of banks and asset managers,"
Journal of Banking & Finance, Elsevier, vol. 138(C).
- Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid, 2020. "Simulating fire sales in a system of banks and asset managers," Working Paper Series 2373, European Central Bank.
- Figini, Silvia & Maggi, Mario & Uberti, Pierpaolo, 2020. "The market rank indicator to detect financial distress," Econometrics and Statistics, Elsevier, vol. 14(C), pages 63-73.
- Patrick Van Roy & Stijn Ferrari & Cristina Vespro, 2018.
"Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium,"
Working Paper Research
338, National Bank of Belgium.
- 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).
- Chris Bloor & Rebecca Craigie & Anella Munro, 2012. "The macroeconomic effects of a stable funding requirement," Reserve Bank of New Zealand Discussion Paper Series DP2012/05, Reserve Bank of New Zealand.
- Adam Gersl & Jakub Seidler, 2012. "How to Improve the Quality of Stress Tests through Backtesting," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 325-346, August.
- Arnd Hübsch & Ursula Walther, 2017. "The impact of network inhomogeneities on contagion and system stability," Annals of Operations Research, Springer, vol. 254(1), pages 61-87, July.
- Jorge Ponce & Magdalena Tubio, 2010. "Estabilidad financiera: conceptos básicos," Documentos de trabajo 2010004, Banco Central del Uruguay.
- 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.
- 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.
- Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
- Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2014. "Assessing the contribution of banks, insurance and other financial services to systemic risk," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 270-287.
- Nadine M Walters & Conrad Beyers & Gusti van Zyl & Rolf van den Heever, 2018. "A framework for simulating systemic risk and its application to the South African banking sector," Papers 1811.04223, arXiv.org.
- Atsushi Ishikawa & Koichiro Kamada & Yoshiyuki Kurachi & Kentaro Nasu & Yuki Teranishi, 2012. "Introduction to the Financial Macro-econometric Model," Bank of Japan Working Paper Series 12-E-1, Bank of Japan.
- Petr Jakubík & Gregory Sutton, 2011. "Thoughts on the proper design of macro stress tests," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 111-119, Bank for International Settlements.
- Mr. Jorge A Chan-Lau, 2010. "Balance Sheet Network Analysis of Too-Connected-to-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 2010/107, International Monetary Fund.
- Céline Gauthier & Moez Souissi & Xuezhi Liu, 2014. "Introducing Funding Liquidity Risk in a Macro Stress-Testing Framework," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 105-142, December.
- Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
- ABBASI Ebrahim & BAHRAMI Alireza & ZADEH Amir Mohammad, 2014. "An Analysis Of The Factors Affecting Banks` Cash Demand: A Case Study Of Refah Bank," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 9(3), pages 5-20, December.
- Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
- Mark J Manning & Matthew Willison, 2006.
"Modelling the cross-border use of collateral in payment systems,"
Bank of England working papers
286, Bank of England.
Cited by:
- Hiroshi Fujiki, 2013.
"Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard,"
The Japanese Economic Review, Japanese Economic Association, vol. 64(4), pages 504-536, December.
- Hiroshi Fujiki, 2010. "Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard," IMES Discussion Paper Series 10-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
- Charles Kahn, 2013. "Private payment systems, collateral, and interest rates," Annals of Finance, Springer, vol. 9(1), pages 83-114, February.
- Fujiki, Hiroshi, 2014.
"Institutional designs to alleviate liquidity shortages in a two-country model,"
Japan and the World Economy, Elsevier, vol. 31(C), pages 32-46.
- Hiroshi Fujiki, 2013. "Institutional Designs to Alleviate Liquidity Shortages in a Two- Country Model," IMES Discussion Paper Series 13-E-07, Institute for Monetary and Economic Studies, Bank of Japan.
- Schanz, Jochen, 2009. "How do different models of foreign exchange settlement influence the risks and benefits of global liquidity management?," Bank of England working papers 374, Bank of England.
- John P Jackson & Mark J Manning, 2007. "Comparing the pre-settlement risk implications of alternative clearing arrangements," Bank of England working papers 321, Bank of England.
- Cronin, David, 2011. "Large-Value Payment System Design and Risk Management," Quarterly Bulletin Articles, Central Bank of Ireland, pages 78-88, January.
- Ball, Alan & Denbee, Edward & Manning, Mark & Wetherilt, Anne, 2011. "Financial Stability Paper No 11: Intraday Liquidity - Risk and Regulation," Bank of England Financial Stability Papers 11, Bank of England.
- Foote, Elizabeth, 2014. "Information asymmetries and spillover risk in settlement systems," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 179-190.
- Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.
- Hiroshi Fujiki, 2013.
"Policy Measures to Alleviate Foreign Currency Liquidity Shortages under Aggregate Risk with Moral Hazard,"
The Japanese Economic Review, Japanese Economic Association, vol. 64(4), pages 504-536, December.
- Stephen Millard & Matthew Willison, 2006.
"The welfare benefits of stable and efficient payment systems,"
Bank of England working papers
301, Bank of England.
- Stephen P Millard & Matthew Willison, 2004. "The welfare benefits of stable and efficient payment systems," Money Macro and Finance (MMF) Research Group Conference 2004 36, Money Macro and Finance Research Group.
Cited by:
- Massimo Cirasino & Mario Guadamillas & José Antonio García & Fernando Montes-Negret, 2007. "Reforming Payments and Securities Settlement Systems in Latin America and the Caribbean," World Bank Publications - Books, The World Bank Group, number 6630, December.
- Paolo Casini, 2010. "The industrial organization of financial services in developing and developed countries," ULB Institutional Repository 2013/210176, ULB -- Universite Libre de Bruxelles.
- Matthew Willison, 2005.
"Real-Time Gross Settlement and hybrid payment systems: a comparison,"
Bank of England working papers
252, Bank of England.
Cited by:
- Marius Jurgilas & Antoine Martin, 2010.
"Liquidity-saving mechanisms in collateral-based RTGS payment systems,"
Staff Reports
438, Federal Reserve Bank of New York.
- Jurgilas, Marius & Martin, Antoine, 2010. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Bank of England working papers 389, Bank of England.
- Marius Jurgilas & Antoine Martin, 2013. "Liquidity-saving mechanisms in collateral-based RTGS payment systems," Annals of Finance, Springer, vol. 9(1), pages 29-60, February.
- Antoine Martin & James J. McAndrews, 2008.
"A study of competing designs for a liquidity-saving mechanism,"
Staff Reports
336, Federal Reserve Bank of New York.
- Martin, Antoine & McAndrews, James, 2010. "A study of competing designs for a liquidity-saving mechanism," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1818-1826, August.
- Antoine Martin & James J. McAndrews, 2007.
"Liquidity-saving mechanisms,"
Staff Reports
282, Federal Reserve Bank of New York.
- Jamie McAndrews & Antoine Martin, 2007. "Liquidity saving mechanisms," 2007 Meeting Papers 165, Society for Economic Dynamics.
- Martin, Antoine & McAndrews, James, 2008. "Liquidity-saving mechanisms," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 554-567, April.
- Merrouche, Ouarda & Schanz, Jochen, 2010.
"Banks' intraday liquidity management during operational outages: Theory and evidence from the UK payment system,"
Journal of Banking & Finance, Elsevier, vol. 34(2), pages 314-323, February.
- Merrouche, Ouarda & Schanz, Jochen, 2009. "Banks' intraday liquidity management during operational outages: theory and evidence from the UK payment system," Bank of England working papers 370, Bank of England.
- Leinonen, Harry (ed.), 2009. "Simulation analyses and stress testing of payment networks," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2009_042.
- Norman, Ben, 2010. "Financial Stability Paper No 7: Liquidity Saving in Real-Time Gross Settlement Systems - an Overview," Bank of England Financial Stability Papers 7, Bank of England.
- Kahn, Charles M. & Roberds, William, 2009. "Why pay? An introduction to payments economics," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 1-23, January.
- Ball, Alan & Denbee, Edward & Manning, Mark & Wetherilt, Anne, 2011. "Financial Stability Paper No 11: Intraday Liquidity - Risk and Regulation," Bank of England Financial Stability Papers 11, Bank of England.
- Tomohiro Ota, 2016. "Sequential payments and optimal pricing in payment systems," Annals of Finance, Springer, vol. 12(3), pages 441-463, December.
- Marius Jurgilas & Antoine Martin, 2010.
"Liquidity-saving mechanisms in collateral-based RTGS payment systems,"
Staff Reports
438, Federal Reserve Bank of New York.
Articles
- Button, Richard & Knott, Samual & Macmanus, Conor & Willison, Matthew, 2015.
"Desperate adventurers and men of straw: the failure of City of Glasgow Bank and its enduring impact on the UK banking system,"
Bank of England Quarterly Bulletin, Bank of England, vol. 55(1), pages 23-35.
Cited by:
- Balluck, Kushal & Galiay, Artus & Ferrara, Gerardo & Hogarth, Glenn, 2016. "The small bank failures of the early 1990s: another story of boom and bust," Bank of England Quarterly Bulletin, Bank of England, vol. 56(1), pages 41-51.
- Mike Anson & David Bholat & Miao Kang & Ryland Thomas, 2017.
"The Bank of England as Lender of Last Resort: New historical evidence from daily transactional data,"
Working Papers
0117, European Historical Economics Society (EHES).
- Anson, Mike & Bhola, David & Kang, Miao & Thomas, Ryland, 2017. "The Bank of England as lender of last resort: New historical evidence from daily transactional data," eabh Papers 17-03, The European Association for Banking and Financial History (EABH).
- Anson, Mike & Bholat, David & Kang, Miao & Thomas, Ryland, 2017. "The Bank of England as lender of last resort: new historical evidence from daily transactional data," Bank of England working papers 691, Bank of England.
- Mark Billings & Simon Mollan & Philip Garnett, 2021. "Debating banking in Britain: The Colwyn committee, 1918," Business History, Taylor & Francis Journals, vol. 63(6), pages 944-965, August.
- Jinke Li & Geoffrey Meen, 2016. "Agent Based Models, Housing Fluctuations and the Role of Heterogeneous Expectations," Economics Discussion Papers em-dp2016-09, Department of Economics, University of Reading.
- Willison, Matthew, 2018. "Were banks special? Contrasting viewpoints in mid-nineteenth century Britain," Bank of England working papers 755, Bank of England.
- Goodhart, C. A. E. & Postel-Vinay, Natacha, 2024. "The City of Glasgow Bank failure and the case for liability reform," Economic History Working Papers 121956, London School of Economics and Political Science, Department of Economic History.
- 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.
See citations under working paper version above.
- Anand, Kartik & Gai, Prasanna & Kapadia, Sujit & Brennan, Simon & Willison, Matthew, 2012. "A network model of financial system resilience," Bank of England working papers 458, Bank of England.
- Kartik Anand & Prasanna Gai & Sujit Kapadia & Simon Brennan & Matthew Willison, 2011. "A Network Model of Financial System Resilience," SFB 649 Discussion Papers SFB649DP2011-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Chapters
- 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.
See citations under working paper version above.
- David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile 555, Central Bank of Chile.
- Aikman, David & Alessandri, Piergiorgio & Eklund, Bruno & Gai, Prasanna & Kapadia, Sujit & Martin, Elizabeth & Mora, Nada & Sterne, Gabriel & Willison, Matthew, 2009. "Funding liquidity risk in a quantitative model of systemic stability," Bank of England working papers 372, Bank of England.
- 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.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Webber, Lewis & Willison, Matthew, 2011. "Systemic capital requirements," Bank of England working papers 436, Bank of England.