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Stress testing the resilience of financial networks

Citations

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Cited by:

  1. Yann Braouezec & Lakshithe Wagalath, 2018. "Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario [Testing macroprudential stress tests: the risk of regulatory risk weights]," Review of Finance, European Finance Association, vol. 22(2), pages 747-782.
  2. Jordaan, D. & Kirsten, J., 2018. "Measuring the Fragility of Agribusiness Chains: A Case Study of the South African Lamb Chain," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277501, International Association of Agricultural Economists.
  3. Daniel Grigat & Fabio Caccioli, 2017. "Reverse stress testing interbank networks," Papers 1702.08744, arXiv.org, revised Mar 2017.
  4. Paolo Barucca & Fabrizio Lillo, 2018. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Computational Management Science, Springer, vol. 15(1), pages 33-53, January.
  5. Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
  6. Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015. "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers 46/2015, Deutsche Bundesbank.
  7. Bargigli, Leonardo & Gallegati, Mauro, 2013. "Finding communities in credit networks," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, vol. 7, pages 1-39.
  8. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2018. "Financial asset bubbles in banking networks," Papers 1806.01728, arXiv.org.
  9. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2015. "Vulnerable banks," Journal of Financial Economics, Elsevier, vol. 115(3), pages 471-485.
  10. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
  11. Marina Dolfin & Damian Knopoff & Michele Limosani & Maria Gabriella Xibilia, 2019. "Credit Risk Contagion and Systemic Risk on Networks," Mathematics, MDPI, vol. 7(8), pages 1-16, August.
  12. Guo Weilong & Minca Andreea & Wang Li, 2016. "The topology of overlapping portfolio networks," Statistics & Risk Modeling, De Gruyter, vol. 33(3-4), pages 139-155, December.
  13. 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).
  14. in 't Veld, Daan & van der Leij, Marco & Hommes, Cars, 2020. "The formation of a core-periphery structure in heterogeneous financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  15. 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.
  16. Lasse Loepfe & Antonio Cabrales & Angel Sánchez, 2013. "Towards a Proper Assignment of Systemic Risk: The Combined Roles of Network Topology and Shock Characteristics," PLOS ONE, Public Library of Science, vol. 8(10), pages 1-1, October.
  17. 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 1-27, August.
  18. Annarelli, Alessandro & Nonino, Fabio, 2016. "Strategic and operational management of organizational resilience: Current state of research and future directions," Omega, Elsevier, vol. 62(C), pages 1-18.
  19. Hong Chen & Tan Wang & David D. Yao, 2021. "Financial Network and Systemic Risk—A Dynamic Model," Production and Operations Management, Production and Operations Management Society, vol. 30(8), pages 2441-2466, August.
  20. Roncoroni, Alan & Battiston, Stefano & Escobar-Farfán, Luis O.L. & Martinez-Jaramillo, Serafin, 2021. "Climate risk and financial stability in the network of banks and investment funds," Journal of Financial Stability, Elsevier, vol. 54(C).
  21. Dror Kenett & Shlomo Havlin, 2015. "Network science: a useful tool in economics and finance," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 14(2), pages 155-167, November.
  22. Hosung Jung & Hyun Hak Kim, 2024. "Systemic risk in the consumer credit network across financial institutions," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 29(3), pages 1462-1482, July.
  23. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
  24. Vitali, Stefania & Battiston, Stefano & Gallegati, Mauro, 2016. "Financial fragility and distress propagation in a network of regions," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 56-75.
  25. Lorenzo Zino & Giulia Fracastoro & Anton V. Proskurnikov & Giuseppe Carlo Calafiore, 2025. "On the influence of network structure on the resilience and losses of financial systems," The Journal of Mechanism and Institution Design, Society for the Promotion of Mechanism and Institution Design, University of York, vol. 10(1), pages 97-122, December.
  26. Paolo Barucca & Fabrizio Lillo, 2015. "The organization of the interbank network and how ECB unconventional measures affected the e-MID overnight market," Papers 1511.08068, arXiv.org, revised Sep 2017.
  27. Hamed Amini & Andreea Minca, 2016. "Inhomogeneous Financial Networks and Contagious Links," Operations Research, INFORMS, vol. 64(5), pages 1109-1120, October.
  28. Rama Cont & Andreea Minca, 2016. "Credit default swaps and systemic risk," Annals of Operations Research, Springer, vol. 247(2), pages 523-547, December.
  29. Philippe Deprez & Rajat Subhra Hazra & Mario V. Wüthrich, 2015. "Inhomogeneous Long-Range Percolation for Real-Life Network Modeling," Risks, MDPI, vol. 3(1), pages 1-23, January.
  30. L. C. G. Rogers & L. A. M. Veraart, 2013. "Failure and Rescue in an Interbank Network," Management Science, INFORMS, vol. 59(4), pages 882-898, April.
  31. He, Yi & Wu, Shan & Tong, Mu, 2019. "Systemic risk and liquidity rescue in complex financial networks: Pit hole and black hole of liquidity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  32. Artur Kotlicki & Andrea Austin & David Humphry & Hanna Burnett & Philip Ridgill & Sam Smith, 2023. "Network analysis of the UK reinsurance market," Bank of England working papers 1000, Bank of England.
  33. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
  34. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
  35. E. Kromer & L. Overbeck & K. Zilch, 2016. "Systemic risk measures on general measurable spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(2), pages 323-357, October.
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