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No-Arbitrage Pricing Under Systemic Risk: Accounting For Cross-Ownership

Citations

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Cited by:

  1. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  2. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire sales and ex ante valuation of systemic risk: A financial equilibrium networks approach," Discussion Papers 2022/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  3. Christoph Siebenbrunner, 2017. "Clearing algorithms and network centrality," Papers 1706.00284, arXiv.org.
  4. Bodin Civilize & Thaisiri Watewai & Sakkapop Panyanukul & Kaipichit Ruengsrichaiya, 2019. "Mapping Thailand's Financial Landscape: A Perspective through Balance Sheet Linkages and Contagion," PIER Discussion Papers 114, Puey Ungphakorn Institute for Economic Research.
  5. Nils Bertschinger & Julian Stobbe, 2018. "Systemic Greeks: Measuring risk in financial networks," Papers 1810.11849, arXiv.org.
  6. Giuseppe Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2021. "Optimal Clearing Payments in a Financial Contagion Model," Papers 2103.10872, arXiv.org, revised Feb 2024.
  7. Jackson, Matthew O. & Pernoud, Agathe, 2025. "Optimal regulation and investment incentives in financial networks," Journal of Public Economics, Elsevier, vol. 252(C).
  8. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
  9. Giuseppe C. Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2022. "Clearing Payments in Dynamic Financial Networks," Papers 2201.12898, arXiv.org, revised May 2022.
  10. Sabrina Aufiero & Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2025. "Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review," Papers 2508.12007, arXiv.org.
  11. Lei Li & Kun Qin & Desheng Wu, 2023. "A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks," Sustainability, MDPI, vol. 15(7), pages 1-16, April.
  12. V. Sasidevan & Nils Bertschinger, 2019. "Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches," Papers 1912.05273, arXiv.org.
  13. 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.
  14. Marco Bardoscia & Paolo Barucca & Adam Brinley Codd & John Hill, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
  15. Johannes Hain & Tom Fischer, 2015. "Valuation Algorithms for Structural Models of Financial Interconnectedness," Papers 1501.07402, arXiv.org.
  16. 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.
  17. Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  18. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.
  19. Nils Bertschinger & Martin Hoefer & Daniel Schmand, 2025. "Flow Allocation Games," Mathematics of Operations Research, INFORMS, vol. 50(1), pages 68-89, February.
  20. Nils Bertschinger & Martin Hoefer & Daniel Schmand, 2019. "Flow Allocation Games," Papers 1908.01714, arXiv.org, revised Dec 2023.
  21. Zachary Feinstein & Andreas Sojmark, 2022. "Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today," Papers 2211.15431, arXiv.org, revised Feb 2025.
  22. Padellini, Mauro, 2021. "Balance sheet and seniority constraints on the repayment value of claims," MPRA Paper 107295, University Library of Munich, Germany.
  23. Chen, Yu & Jin, Shuyue & Wang, Xiasi, 2021. "Solvency contagion risk in the Chinese commercial banks’ network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
  24. Padellini, Mauro, 2021. "Balance sheet and seniority constraints on the repayment value of claims," MPRA Paper 107256, University Library of Munich, Germany.
  25. Marco Bardoscia & Raymond Ka-Kay Pang, 2023. "Ring-fencing in financial networks," Bank of England working papers 1046, Bank of England.
  26. 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.
  27. 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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