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Failure and Rescue in an Interbank Network

Citations

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Cited by:

  1. Covi, Giovanni & Gorpe, Mehmet Ziya & Kok, Christoffer, 2021. "CoMap: Mapping Contagion in the Euro Area Banking Sector," Journal of Financial Stability, Elsevier, vol. 53(C).
  2. Jian Yang & Yinggang Zhou, 2013. "Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence," Management Science, INFORMS, vol. 59(10), pages 2343-2359, October.
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  4. Giuseppe Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2021. "Optimal Clearing Payments in a Financial Contagion Model," Papers 2103.10872, arXiv.org, revised Feb 2024.
  5. Fang, Ming & Taylor, Stephen & Uddin, Ajim, 2022. "The network structure of overnight index swap rates," Finance Research Letters, Elsevier, vol. 46(PB).
  6. 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.
  7. 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).
  8. Hamed Amini & Maxim Bichuch & Zachary Feinstein, 2021. "Decentralized Payment Clearing using Blockchain and Optimal Bidding," Papers 2109.00446, arXiv.org, revised Jan 2022.
  9. Yuri Kabanov & Arthur Sidorenko, 2022. "An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk," Papers 2212.13188, arXiv.org.
  10. Amini, Hamed & Minca, Andreea & Sulem, Agnès, 2017. "Optimal equity infusions in interbank networks," Journal of Financial Stability, Elsevier, vol. 31(C), pages 1-17.
  11. Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
  12. E. Gaffeo & M. Molinari, 2016. "Macroprudential consolidation policy in interbank networks," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 77-99, March.
  13. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
  14. Péter Csóka & P. Jean-Jacques Herings, 2021. "An Axiomatization of the Proportional Rule in Financial Networks," Management Science, INFORMS, vol. 67(5), pages 2799-2812, May.
  15. Giuseppe Calafiore & Giulia Fracastoro & Anton Proskurnikov, 2024. "Default Resilience and Worst-Case Effects in Financial Networks," Papers 2403.10631, arXiv.org, revised Oct 2025.
  16. Gerardo Ferrara & Sam Langfield & Zijun Liu & Tomohiro Ota, 2019. "Systemic illiquidity in the interbank network," Quantitative Finance, Taylor & Francis Journals, vol. 19(11), pages 1779-1795, November.
  17. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 247-275, February.
  18. Mih'aly P'eter Hanics, 2022. "Graph theoretical models and algorithms of portfolio compression," Papers 2212.09473, arXiv.org.
  19. P'al Andr'as Papp & Roger Wattenhofer, 2020. "Network-Aware Strategies in Financial Systems," Papers 2002.07566, arXiv.org.
  20. Francesco Giuseppe Cordoni & Luca Di Persio & Yilun Jiang, 2020. "A Bank Salvage Model by Impulse Stochastic Controls," Risks, MDPI, vol. 8(2), pages 1-31, June.
  21. Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024. "Computing Systemic Risk Measures with Graph Neural Networks," Papers 2410.07222, arXiv.org, revised Oct 2025.
  22. Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2018. "Network models of financial systemic risk: a review," Journal of Computational Social Science, Springer, vol. 1(1), pages 81-114, January.
  23. Nan Chen & Xin Liu & David D. Yao, 2016. "An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect," Operations Research, INFORMS, vol. 64(5), pages 1089-1108, October.
  24. Marco Bardoscia & Raymond Ka-Kay Pang, 2023. "Ring-fencing in financial networks," Bank of England working papers 1046, Bank of England.
  25. T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, June.
  26. 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.
  27. Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
  28. Ketelaars, Martijn & Borm, Peter & Herings, P.J.J., 2024. "The Characterization of Clearing Payments in Financial Networks," Other publications TiSEM e1e1e64f-022b-4206-b7b3-b, Tilburg University, School of Economics and Management.
  29. Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  30. Ariah Klages-Mundt & Andreea Minca, 2020. "Cascading Losses in Reinsurance Networks," Management Science, INFORMS, vol. 66(9), pages 4246-4268, September.
  31. P'al Andr'as Papp & Roger Wattenhofer, 2021. "Debt Swapping for Risk Mitigation in Financial Networks," Papers 2107.05359, arXiv.org.
  32. Brimkov, Boris & Fast, Caleb C. & Hicks, Illya V., 2019. "Computational approaches for zero forcing and related problems," European Journal of Operational Research, Elsevier, vol. 273(3), pages 889-903.
  33. Zhiyu Cao & Zachary Feinstein, 2025. "Price-mediated contagion with endogenous market liquidity," Mathematics and Financial Economics, Springer, volume 19, number 4, June.
  34. Valentina Macchiati & Giuseppe Brandi & Tiziana Di Matteo & Daniela Paolotti & Guido Caldarelli & Giulio Cimini, 2022. "Systemic liquidity contagion in the European interbank market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 443-474, April.
  35. Samim Ghamami & Paul Glasserman & H. Peyton Young, 2022. "Collateralized Networks," Management Science, INFORMS, vol. 68(3), pages 2202-2225, March.
  36. Robert Ghrist, 2026. "Clearing in Liability Networks via Sheaves on Directed Hypergraphs," Papers 2605.15778, arXiv.org.
  37. Sim, Khai Zhi, 2023. "Monetary and fiscal coordination in preventing bank failures and financial contagion," Journal of Macroeconomics, Elsevier, vol. 75(C).
  38. Csóka, Péter & Herings, P. Jean-Jacques, 2025. "Two axiomatizations of the pairwise netting proportional rule in financial networks," European Journal of Operational Research, Elsevier, vol. 325(3), pages 553-567.
  39. Walter Farkas & Patrick Lucescu, 2024. "Modeling Risk Sharing and Impact on Systemic Risk," Mathematics, MDPI, vol. 12(13), pages 1-19, July.
  40. Hamed Amini & Damir Filipović & Andreea Minca, 2016. "To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting," Operations Research, INFORMS, vol. 64(5), pages 1135-1142, October.
  41. Daniel Ritter, 2019. "Mathematical Modeling of Systemic Risk in Financial Networks: Managing Default Contagion and Fire Sales," Papers 1911.07313, arXiv.org.
  42. Leonardo Massai & Giacomo Como & Fabio Fagnani, 2019. "Equilibria and Systemic Risk in Saturated Networks," Papers 1912.04815, arXiv.org, revised Jan 2021.
  43. 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.
  44. Elliott, Matthew & Georg, Co-Pierre & Hazell, Jonathon, 2021. "Systemic risk shifting in financial networks," LSE Research Online Documents on Economics 123924, London School of Economics and Political Science, LSE Library.
  45. 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.
  46. Elliott, M. & Georg, C-P. & Hazell, J., 2020. "Systemic Risk-Shifting in Financial Networks," Cambridge Working Papers in Economics 2068, Faculty of Economics, University of Cambridge.
  47. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  48. Roncoroni, Alan & Battiston, Stefano & D’Errico, Marco & Hałaj, Grzegorz & Kok, Christoffer, 2021. "Interconnected banks and systemically important exposures," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  49. Zachary Feinstein, 2021. "Clearing prices under margin calls and the short squeeze," Papers 2102.02176, arXiv.org, revised Apr 2022.
  50. Nicolas Houy & Frédéric Jouneau, 2016. "Defaulting firms and systemic risks in financial networks," Working Papers 1606, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon.
  51. Amini, Hamed & Bichuch, Maxim & Feinstein, Zachary, 2023. "Decentralized payment clearing using blockchain and optimal bidding," European Journal of Operational Research, Elsevier, vol. 309(1), pages 409-420.
  52. Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Management Science, INFORMS, vol. 64(2), pages 955-970, February.
  53. Yoshiaki Ogura & Ryo Okui & Yukiko Umeno Saito, 2025. "Network-Motivated Forbearance Lending," Management Science, INFORMS, vol. 71(11), pages 9766-9783, November.
  54. Maxim Bichuch & Zachary Feinstein, 2018. "Optimization of Fire Sales and Borrowing in Systemic Risk," Papers 1802.04232, arXiv.org, revised Oct 2018.
  55. Li, Ping & Guo, Yanhong & Meng, Hui, 2022. "The default contagion of contingent convertible bonds in financial network," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  56. Nevermann, Daniel & Heckmann-Draisbach, Lotta, 2023. "Effects of mergers on network models of the financial system," International Review of Financial Analysis, Elsevier, vol. 90(C).
  57. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
  58. Maxim Bichuch & Zachary Feinstein, 2020. "A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms," Papers 2005.05364, arXiv.org, revised Mar 2021.
  59. Zachary Feinstein, 2017. "Harry Potter and the Goblin Bank of Gringotts," Papers 1703.10469, arXiv.org.
  60. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  61. Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020. "Contagion in derivatives markets," LSE Research Online Documents on Economics 100868, London School of Economics and Political Science, LSE Library.
  62. T. R. Hurd, 2018. "Bank Panics And Fire Sales, Insolvency And Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-30, September.
  63. 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.
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  66. Steffen Schuldenzucker & Sven Seuken & Stefano Battiston, 2017. "The Computational Complexity of Financial Networks with Credit Default Swaps," Papers 1710.01578, arXiv.org, revised May 2019.
  67. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
  68. Zachary Feinstein & Weijie Pang & Birgit Rudloff & Eric Schaanning & Stephan Sturm & Mackenzie Wildman, 2017. "Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities," Papers 1708.01561, arXiv.org, revised Oct 2018.
  69. Chien-Hsiang Yeh, 2022. "Uniqueness of Equilibria in Interactive Networks," Papers 2206.00158, arXiv.org.
  70. 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.
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  72. Battiston Stefano & Caldarelli Guido & D’Errico Marco & Gurciullo Stefano, 2016. "Leveraging the network: A stress-test framework based on DebtRank," Statistics & Risk Modeling, De Gruyter, vol. 33(3-4), pages 117-138, December.
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  74. Dohyun Ahn & Nan Chen & Kyoung-Kuk Kim, 2024. "Robust Risk Quantification via Shock Propagation in Financial Networks," Operations Research, INFORMS, vol. 72(1), pages 1-18, January.
  75. Feinstein, Zachary & Sojmark, Andreas, 2021. "Short communication: dynamic default contagion in heterogeneous interbank systems," LSE Research Online Documents on Economics 123789, London School of Economics and Political Science, LSE Library.
  76. Ketelaars, Martijn, 2024. "Equity Consistency in Financial Networks," Other publications TiSEM 6821532b-151b-4ae3-9543-5, Tilburg University, School of Economics and Management.
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