Derivatives and Credit Contagion in Interconnected Networks
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- S. Heise & R. Kühn, 2012. "Derivatives and credit contagion in interconnected networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
References listed on IDEAS
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World Scientific Publishing Co. Pte. Ltd..
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- Clerc, L. & Gabrieli, S. & Kern, S. & El Omari, Y., 2014. "Monitoring the European CDS Market through Networks: Implications for Contagion Risks," Working papers 477, Banque de France.
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- Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
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- 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.
- Pierre Paga & Reimer Kuhn, 2014. "Contagion in an interacting economy," Papers 1409.2625, arXiv.org, revised Mar 2015.
- Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
- Diego Aparicio & Daniel Fraiman, 2015. "Banking Networks and Leverage Dependence: Evidence from Selected Emerging Countries," Papers 1507.01901, arXiv.org.
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- Brunnermeier, M. & Clerc, L. & Scheicher, M., 2013. "Assessing contagion risks in the CDS market," Financial Stability Review, Banque de France, issue 17, pages 123-134, April.
- Henry, Jérôme & Kok, Christoffer & Amzallag, Adrien & Baudino, Patrizia & Cabral, Inês & Grodzicki, Maciej & Gross, Marco & Halaj, Grzegorz & Kolb, Markus & Leber, Miha & Pancaro, Cosimo & Sydow, Matt, 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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