IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v59y2015icp164-181.html

Dynamical macroprudential stress testing using network theory

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Karolina Safarzynska & Taras Kryvyy, 2025. "Integrating metals and minerals into climate-economic models: a review," Climatic Change, Springer, vol. 178(7), pages 1-23, July.
  2. Marc van Kralingen & Diego Garlaschelli & Karolina Scholtus & Iman van Lelyveld, 2020. "Crowded trades, market clustering, and price instability," Tinbergen Institute Discussion Papers 20-007/II, Tinbergen Institute.
  3. Yevgeny Mugerman & Joseph Tzur & Arie Jacobi, 2018. "Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-30, December.
  4. Wu, JunFeng & Zhang, Chao & Chen, Yun, 2022. "Analysis of risk correlations among stock markets during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
  5. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2019. "Reconstructing and stress testing credit networks," LSE Research Online Documents on Economics 118938, London School of Economics and Political Science, LSE Library.
  6. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020. "Reconstructing and stress testing credit networks," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  7. Germán G. Creamer & Tal Ben-Zvi, 2021. "Volatility and Risk in the Energy Market: A Trade Network Approach," Sustainability, MDPI, vol. 13(18), pages 1-17, September.
  8. X. Zhang & L. D. Valdez & H. E. Stanley & L. A. Braunstein, 2019. "Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach," Complexity, Hindawi, vol. 2019, pages 1-11, December.
  9. Jan Fialkowski & Christian Diem & Andr'as Borsos & Stefan Thurner, 2025. "A data-driven econo-financial stress-testing framework to estimate the effect of supply chain networks on financial systemic risk," Papers 2502.17044, arXiv.org.
  10. Barucca, Paolo & Mahmood, Tahir & Silvestri, Laura, 2021. "Common asset holdings and systemic vulnerability across multiple types of financial institution," Journal of Financial Stability, Elsevier, vol. 52(C).
  11. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
  12. Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
  13. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
  14. Junhai Ma & Yuxin Liu & Li Zhao & Weihua Liang, 2024. "Research on the mechanism and application of spatial credit risk contagion based on complex network model," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 45(2), pages 1180-1193, March.
  15. Chuang, Hongwei, 2016. "Brokers’ financial network and stock return," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 172-183.
  16. Shi, Qing & Sun, Xiaoqi & Jiang, Yile, 2022. "Concentrated commonalities and systemic risk in China's banking system: A contagion network approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
  17. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
  18. Onur Polat, 2021. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 47-59, December.
  19. Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022. "Backtesting macroprudential stress tests," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
  20. Huang, Wei-Qiang & Zhuang, Xin-Tian & Yao, Shuang & Uryasev, Stan, 2016. "A financial network perspective of financial institutions’ systemic risk contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 183-196.
  21. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
  22. Tabachová, Zlata & Diem, Christian & Borsos, András & Burger, Csaba & Thurner, Stefan, 2024. "Estimating the impact of supply chain network contagion on financial stability," Journal of Financial Stability, Elsevier, vol. 75(C).
  23. Xu, Hai-Chuan & Li, Tai-Min & Dai, Peng-Fei & Nguyen, Duc Khuong & Zhou, Wei-Xing, 2024. "Stress testing climate risk: A network-based analysis of the Chinese banking system," Journal of International Money and Finance, Elsevier, vol. 149(C).
  24. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
  25. Petre Caraiani, 2020. "Forecasting Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 983-997, March.
  26. Wang, Lei & Li, Shouwei & Wang, Jining & Meng, Yi, 2020. "Real estate bubbles in a bank-real estate loan network model integrating economic cycle and macro-prudential stress testing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  27. David M. Gould & Dror Y. Kenett & Georgi Panterov, 2021. "Multi‐dimensional economic connectivity: benefits, risks, and policy implications," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6110-6127, October.
  28. Mika J. Straka & Guido Caldarelli & Tiziano Squartini & Fabio Saracco, 2017. "From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks," Papers 1710.10143, arXiv.org.
  29. Borochin, Paul & Rush, Stephen, 2022. "Information networks in the financial sector and systemic risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
  30. Fernando Duarte & Thomas M. Eisenbach, 2021. "Fire‐Sale Spillovers and Systemic Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1251-1294, June.
  31. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
  32. Mahdi Kohan Sefidi, 2025. "Predicting Financial Market Crises using Multilayer Network Analysis and LSTM-based Forecasting of Spillover Effects," Papers 2505.11019, arXiv.org.
  33. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
  34. Chen, Naixi & Fan, Hong & Pang, Congyuan, 2024. "Contagion mechanism of liquidity risk in the interbank network," Economic Modelling, Elsevier, vol. 140(C).
  35. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
  36. Nicolò Pecora & Pablo Rovira Kaltwasser & Alessandro Spelta, 2016. "Discovering SIFIs in Interbank Communities," PLOS ONE, Public Library of Science, vol. 11(12), pages 1-17, December.
  37. Huang, Wei-Qiang & Wang, Dan, 2018. "Systemic importance analysis of chinese financial institutions based on volatility spillover network," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 19-30.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.