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Citations for "Simulation methods to assess the danger of contagion in interbank markets"

by Upper, Christian

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  1. Georgescu, Oana-Maria, 2015. "Contagion in the interbank market: Funding versus regulatory constraints," Journal of Financial Stability, Elsevier, vol. 18(C), pages 1-18.
  2. Friederike Niepmann & Tim Schmidt-Eisenlohr, 2013. "Bank Bailouts, International Linkages, and Cooperation," American Economic Journal: Economic Policy, American Economic Association, vol. 5(4), pages 270-305, November.
  3. Iñaki Aldasoro & Iván Alves, 2016. "Multiplex interbank networks and systemic importance – An application to European data," ESRB Working Paper Series 20, European Systemic Risk Board.
  4. Kanno, Masayasu, 2015. "Assessing systemic risk using interbank exposures in the global banking system," Journal of Financial Stability, Elsevier, vol. 20(C), pages 105-130.
  5. Tomáš Klinger & Petr Teply, 2014. "Modelling Interconnections in the Global Financial System in the Light of Systemic Risk," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 64-88.
  6. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
  7. Cussen, Mary, 2017. "Identifying Inter-Sectoral Exposures in Ireland using Network Analysis," Economic Letters 03/EL/17, Central Bank of Ireland.
  8. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic risk in global banking: what can available data tell us and what more data are needed?," BIS Working Papers 376, Bank for International Settlements.
  9. Hommes, C.H. & in 't Veld, D. & van der Leij, M., 2014. "The formation of a core periphery structure in heterogeneous financial networks," CeNDEF Working Papers 14-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  10. David Tison, 2014. "Impact of Non-cooperative Oligopoly of the Banking System on Its Pro-cyclicality in the Czech Republic," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 47-63.
  11. Constantin Anghelache & Radu Titus MARINESCU & Bodo Gyorgy & Ihab Jweida S J JWEIDA & Andreea-Ioana MARINESCU, 2016. "The Role of Information to Market Study," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 100-112, September.
  12. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
  13. Aldasoro, Iñaki & Delli Gatti, Domenico & Faia, Ester, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CEPR Discussion Papers 10540, C.E.P.R. Discussion Papers.
  14. Bargigli, Leonardo & Gallegati, Mauro, 2013. "Finding communities in credit networks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 7, pages 1-39.
  15. Juan Solorzano-Margain & Serafin Martinez-Jaramillo & Fabrizio Lopez-Gallo, 2013. "Financial contagion: extending the exposures network of the Mexican financial system," Computational Management Science, Springer, vol. 10(2), pages 125-155, June.
  16. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  17. 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.
  18. Sheri M Markose, 2013. "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
  19. Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2014(1), pages 24-41.
  20. Aldasoro, Iñaki & Alves, Iván, 2015. "Multiplex interbank networks and systemic importance: An application to European data," SAFE Working Paper Series 102, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  21. Kobayashi, Teruyoshi, 2014. "A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades," Economics Letters, Elsevier, vol. 124(1), pages 113-116.
  22. Nicolas Houy & Frédéric Jouneau, 2016. "Defaulting firms and systemic risks in financial networks," Working Papers 1606, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  23. Caccioli, Fabio & Farmer, J. Doyne & Foti, Nick & Rockmore, Daniel, 2015. "Overlapping portfolios, contagion, and financial stability," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 50-63.
  24. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
  25. Thomas R. Hurd & James P. Gleeson, 2011. "A framework for analyzing contagion in banking networks," Papers 1110.4312, arXiv.org.
  26. Sandoval, Leonidas Junior, 2013. "Structure and causality relations in a global network of financial companies," Insper Working Papers wpe_324, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  27. Hausenblas, Václav & Kubicová, Ivana & Lešanovská, Jitka, 2015. "Contagion risk in the Czech financial system: A network analysis and simulation approach," Economic Systems, Elsevier, vol. 39(1), pages 156-180.
  28. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  29. Silva, Thiago Christiano & de Souza, Sergio Rubens Stancato & Tabak, Benjamin Miranda, 2016. "Network structure analysis of the Brazilian interbank market," Emerging Markets Review, Elsevier, vol. 26(C), pages 130-152.
  30. Yoshiharu Maeno & Satoshi Morinaga & Hirokazu Matsushima & Kenichi Amagai, 2012. "Transmission of distress in a bank credit network," Papers 1204.5661, arXiv.org, revised Nov 2012.
  31. Acuña, Guillermo, 2014. "Expected Duration as a Leading Index for Systemic Risk," MPRA Paper 76557, University Library of Munich, Germany, revised 02 Feb 2017.
  32. Eross, Andrea & Urquhart, Andrew & Wolfe, Simon, 2016. "Liquidity risk contagion in the interbank market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 142-155.
  33. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
  34. Caccioli, Fabio & Shrestha, Munik & Moore, Cristopher & Farmer, J. Doyne, 2014. "Stability analysis of financial contagion due to overlapping portfolios," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 233-245.
  35. H Peyton Young & Paul Glasserman, 2013. "How Likely is Contagion in Financial Networks?," Economics Series Working Papers 642, University of Oxford, Department of Economics.
  36. Brown, Martin & Trautmann, Stefan T. & Vlahu, Razvan, 2012. "Contagious Bank Runs: Experimental Evidence," Working Papers on Finance 1207, University of St. Gallen, School of Finance.
  37. Battiston, Stefano & Gatti, Domenico Delli & Gallegati, Mauro & Greenwald, Bruce & Stiglitz, Joseph E., 2012. "Default cascades: When does risk diversification increase stability?," Journal of Financial Stability, Elsevier, vol. 8(3), pages 138-149.
  38. Foti, Nicholas J. & Pauls, Scott & Rockmore, Daniel N., 2013. "Stability of the World Trade Web over time – An extinction analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1889-1910.
  39. D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016. "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 989-1007, December.
  40. Memmel, Christoph & Sachs, Angelika, 2013. "Contagion in the interbank market and its determinants," Journal of Financial Stability, Elsevier, vol. 9(1), pages 46-54.
  41. Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia, 2016. "Credit risk interconnectedness: What does the market really know?," Discussion Papers 09/2016, Deutsche Bundesbank, Research Centre.
  42. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260 National Bureau of Economic Research, Inc.
  43. Carlos León & Constanza Martínez & Freddy Cepeda, 2015. "Short-Term Liquidity Contagion in the Interbank Market," Borradores de Economia 920, Banco de la Republica de Colombia.
  44. Kok, Christoffer & Hałaj, Grzegorz & Hüser, Anne-Caroline & Perales, Cristian & van der Kraaij, Anton, 2017. "The systemic implications of bail-in: a multi-layered network approach," Working Paper Series 2010, European Central Bank.
  45. repec:bfr:rueban:5 is not listed on IDEAS
  46. in ’t Veld, Daan & van Lelyveld, Iman, 2014. "Finding the core: Network structure in interbank markets," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 27-40.
  47. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
  48. Agur, Itai, 2014. "Bank risk within and across equilibria," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 322-333.
  49. Bargigli, Leonardo & Tedeschi, Gabriele, 2014. "Interaction in agent-based economics: A survey on the network approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 1-15.
  50. Teruyoshi Kobayashi, 2012. "Diversity among banks may increase systemic risk," Discussion Papers 1213, Graduate School of Economics, Kobe University.
  51. Teteryatnikova, Mariya, 2014. "Systemic risk in banking networks: Advantages of “tiered” banking systems," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 186-210.
  52. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61 National Bureau of Economic Research, Inc.
  53. Makoto Nirei & Vladyslav Sushko & Julián Caballero, 2016. "Bank Capital Shock Propagation via Syndicated Interconnectedness," Computational Economics, Springer;Society for Computational Economics, vol. 47(1), pages 67-96, January.
  54. Xiaojun Li & Shijun Dong, 2016. "Assessing Interbank Contagion Risk Using Consolidated Data," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 22(4), pages 421-432, November.
  55. Tonzer, Lena, 2015. "Cross-border interbank networks, banking risk and contagion," Journal of Financial Stability, Elsevier, vol. 18(C), pages 19-32.
  56. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT Institute for Advanced Studies Lucca, revised Sep 2014.
  57. Hüser, Anne-Caroline, 2015. "Too interconnected to fail: A survey of the interbank networks literature," SAFE Working Paper Series 91, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  58. Vinko Zlati\'c & Giampaolo Gabbi & Hrvoje Abraham, 2014. "Reduction of systemic risk by means of Pigouvian taxation," Papers 1406.5817, arXiv.org.
  59. Dengbao Yao & Xiaoxing Liu & Xu Zhang, 2016. "Financial contagion in interbank network," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(2), pages 132-148.
  60. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
  61. Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017. "Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets," European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
  62. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  63. Pawe{\l} Smaga & Mateusz Wili\'nski & Piotr Ochnicki & Piotr Arendarski & Tomasz Gubiec, 2016. "Can banks default overnight? Modeling endogenous contagion on O/N interbank market," Papers 1603.05142, arXiv.org.
  64. Iñaki Aldasoro & Ignazio Angeloni, 2015. "Input-output-based measures of systemic importance," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 589-606, April.
  65. Kartik Anand & Ben Craig & Goetz von Peter, 2015. "Filling in the blanks: network structure and interbank contagion," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 625-636, April.
  66. 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.
  67. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
  68. Muhammad Mohsin Hakeem & Ken-ichi Suzuki, 2016. "Fragility and contagion within European Union's banking system: the network prospective," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(2), pages 115-131.
  69. Gofman, Michael, 2017. "Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions," Journal of Financial Economics, Elsevier, vol. 124(1), pages 113-146.
  70. Franklin Allen & Elena Carletti, 2013. "Financial Markets, Institutions and Liquidity," RBA Annual Conference Volume, in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.
  71. Pecora, Nicolò & Spelta, Alessandro, 2015. "Shareholding relationships in the Euro Area banking market: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 1-12.
  72. 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.
  73. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
  74. Toivanen, Mervi, 2013. "Contagion in the interbank network : An epidemiological approach," Research Discussion Papers 19/2013, Bank of Finland.
  75. S. Gabrieli & D. Salakhova & G. Vuillemey, 2015. "Cross-border interbank contagion in the European banking sector," Working papers 545, Banque de France.
  76. Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
  77. Gabrieli, S. & Salakhova, D. & Vuillemey, G., 2015. "Interconnectedness and contagion risk in the European banking sector," Rue de la Banque, Banque de France, issue 05, April..
  78. Michele Bonollo & Irene Crimaldi & Andrea Flori & Laura Gianfagna & Fabio Pammolli, 2016. "Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 397-426, November.
  79. Marco Bardoscia & Stefano Battiston & Fabio Caccioli & Guido Caldarelli, 2015. "DebtRank: A microscopic foundation for shock propagation," Papers 1504.01857, arXiv.org, revised Jun 2015.
  80. Juan Antonio Montecino & Gerald Epstein & Iren Levina, 2016. "Long-Term Trends in Intra-Financial Sector Lending in the United States (1950–2012)," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 42(4), pages 611-629, September.
  81. Giulia Poce & Giulio Cimini & Andrea Gabrielli & Andrea Zaccaria & Giuditta Baldacci & Marco Polito & Mariangela Rizzo & Silvia Sabatini, 2016. "What do central counterparties default funds really cover? A network-based stress test answer," Papers 1611.03782, arXiv.org.
  82. Hamed Amini & Rama Cont & Andreea Minca, 2011. "Resilience to Contagion in Financial Networks," Papers 1112.5687, arXiv.org.
  83. Craig, Ben R. & Koetter, Michael & Kruger, Ulrich, 2014. "Interbank Lending and Distress: Observables, Unobservables, and Network Structure," Working Paper 1418, Federal Reserve Bank of Cleveland.
  84. Markose, Sheri M & Oluwasegun, Bewaji & Giansante, Simone, 2012. "Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis," Economics Discussion Papers 3712, University of Essex, Department of Economics.
  85. Bargigli, Leonardo & Gallegati, Mauro & Riccetti, Luca & Russo, Alberto, 2014. "Network analysis and calibration of the “leveraged network-based financial accelerator”," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 109-125.
  86. Rodrigo Cifuentes & Alejandro Jara, 2016. "Instituciones de importancia sistémica: identificación y desafíos regulatorios," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(1), pages 92-106, April.
  87. Jose Fique, 2016. "A Microfounded Design of Interconnectedness-Based Macroprudential Policy," Staff Working Papers 16-6, Bank of Canada.
  88. Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima, 2014. "Impact of credit default swaps on financial contagion," Papers 1411.1356, arXiv.org.
  89. Kanno, Masayasu, 2016. "The network structure and systemic risk in the global non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 38-53.
  90. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
  91. Tomas Pavlicek, 2014. "The Developmnet of the Self-employed Sector in the Czech Republic in the Years 2006 - 2010," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 28-46.
  92. Jose Fique, 2015. "A Microfounded Design of Interconnectedness-Based Macroprudential Regulation," Caepr Working Papers 2015-008 Classification-D, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  93. repec:esx:essedp:714 is not listed on IDEAS
  94. Ferrara, Gerardo & Langfield, Sam & Liu, Zijun & Ota, Tomohiro, 2016. "Systemic illiquidity in the interbank network," Bank of England working papers 586, Bank of England.
  95. Annika Birch & Tomaso Aste, 2014. "Systemic Losses Due to Counter Party Risk in a Stylized Banking System," Papers 1402.3688, arXiv.org.
  96. Yoshiharu Maeno & Kenji Nishiguchi & Satoshi Morinaga & Hirokazu Matsushima, 2012. "Optimal portfolio for a robust financial system," Papers 1211.5235, arXiv.org, revised Feb 2013.
  97. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
  98. Hossein Dastkhan & Naser Shams Gharneh, 2016. "Determination of Systemically Important Companies with Cross-Shareholding Network Analysis: A Case Study from an Emerging Market," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(3), pages 1-17, June.
  99. Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
  100. Zlatuse Komarkova & Vaclav Hausenblas & Jan Frait, 2012. "How To Identify Systemically Important Financial Institutions," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 100-111 Czech National Bank, Research Department.
  101. Rui Gong & Frank Page, 2016. "Shadow banks and systemic risks," LSE Research Online Documents on Economics 66044, London School of Economics and Political Science, LSE Library.
  102. Beck, Günter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2015. "Euro area macro-financial stability: A flow-of-funds perspective," SAFE White Paper Series 29, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
  103. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8 Bank for International Settlements.
  104. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org.
  105. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
  106. Hazama, Makoto & Uesugi, Iichiro, 2012. "Measuring the Systemic Risk in Interfirm Transaction Networks," Working Paper Series 20, Center for Interfirm Network, Institute of Economic Research, Hitotsubashi University.
  107. Castrén, Olli & Rancan, Michela, 2014. "Macro-Networks: An application to euro area financial accounts," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 43-58.
  108. T. R. Hurd & Davide Cellai & Sergey Melnik & Quentin H. Shao, 2016. "Double Cascade Model Of Financial Crises," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 01-27.
  109. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  110. 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.
  111. 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.
  112. Zachary Feinstein & Fatena El-Masri, 2015. "The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks," Papers 1507.01847, arXiv.org, revised Oct 2016.
  113. Aldasoro, Iñaki & Faia, Ester, 2016. "Systemic loops and liquidity regulation," Journal of Financial Stability, Elsevier, vol. 27(C), pages 1-16.
  114. Lee, Seung Hwan, 2013. "Systemic liquidity shortages and interbank network structures," Journal of Financial Stability, Elsevier, vol. 9(1), pages 1-12.
  115. Gai, Prasanna & Haldane, Andrew & Kapadia, Sujit, 2011. "Complexity, concentration and contagion," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 453-470.
  116. Vuillemey, Guillaume & Peltonen, Tuomas A., 2015. "Disentangling the bond–CDS nexus: A stress test model of the CDS market," Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
  117. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
  118. Tovar-García, Edgar Demetrio, 2016. "Who can better monitor a bank than another bank? Mechanisms of discipline in the Mexican interbank market ||¿Quién mejor que un banco para monitorear otro banco? Mecanismos de disciplina en el mercado," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 21(1), pages 205-229, June.
  119. Gustavo Peralta & Ricardo Crisóstomo, 2016. "Financial contagion with spillover effects: a multiplex network approach," ESRB Working Paper Series 32, European Systemic Risk Board.
  120. repec:esx:essedp:683 is not listed on IDEAS
  121. 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.
  122. E. Gaffeo & M. Molinari, 2015. "Interbank contagion and resolution procedures: inspecting the mechanism," Quantitative Finance, Taylor & Francis Journals, vol. 15(4), pages 637-652, April.
  123. Iñaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015. "Bank Networks: Contagion, Systemic Risk and Prudential Policy," DISCE - Working Papers del Dipartimento di Economia e Finanza def028, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  124. Minoiu, Camelia & Reyes, Javier A., 2013. "A network analysis of global banking: 1978–2010," Journal of Financial Stability, Elsevier, vol. 9(2), pages 168-184.
  125. Hobza, Alexandr & Zeugner, Stefan, 2014. "Current accounts and financial flows in the euro area," Journal of International Money and Finance, Elsevier, vol. 48(PB), pages 291-313.
  126. Paul Glasserman, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
  127. Leonidas Sandoval Junior, 2013. "Structure and causality relations in a global network of financial companies," Papers 1310.5388, arXiv.org.
  128. Drehmann, Mathias & Tarashev, Nikola, 2013. "Measuring the systemic importance of interconnected banks," Journal of Financial Intermediation, Elsevier, vol. 22(4), pages 586-607.
  129. Jaroslav Vostatek, 2014. "Tax Treatment of Public and Private Pensions," ACTA VSFS, University of Finance and Administration, vol. 8(1), pages 7-27.
  130. Nicolas Houy & Frédéric Jouneau, 2016. "Defaulting firms and systemic risks in financial networks," Working Papers halshs-01267340, HAL.
  131. Paul Glasserman & H. Peyton Young, 2016. "Contagion in financial networks," LSE Research Online Documents on Economics 68681, London School of Economics and Political Science, LSE Library.
  132. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
  133. Allen, Franklin & Carletti, Elena, 2013. "New theories to underpin financial reform," Journal of Financial Stability, Elsevier, vol. 9(2), pages 242-249.
  134. Clara Galliani & Stefano Zedda, 2015. "Will the Bail-in Break the Vicious Circle Between Banks and their Sovereign?," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 597-614, April.
  135. Peltonen, Tuomas A. & Rancan, Michela & Sarlin, Peter, 2015. "Interconnectedness of the banking sector as a vulnerability to crises," Working Paper Series 1866, European Central Bank.
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