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When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification

Citations

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Cited by:

  1. Vodenska, Irena & Aoyama, Hideaki & Becker, Alexander P. & Fujiwara, Yoshi & Iyetomi, Hiroshi & Lungu, Eliza, 2021. "From stress testing to systemic stress testing: The importance of macroprudential regulation," Journal of Financial Stability, Elsevier, vol. 52(C).
  2. Andrea Flori & Fabrizio Lillo & Fabio Pammolli & Alessandro Spelta, 2021. "Better to stay apart: asset commonality, bipartite network centrality, and investment strategies," Annals of Operations Research, Springer, vol. 299(1), pages 177-213, April.
  3. Yichen Zhou & Honggang Li, 2019. "Asset diversification and systemic risk in the financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 247-272, June.
  4. Fabrizio Lillo & Giulia Livieri & Stefano Marmi & Anton Solomko & Sandro Vaienti, 2023. "Unimodal Maps Perturbed by Heteroscedastic Noise: An Application to a Financial Systems," Post-Print hal-04389232, HAL.
  5. Shi, Zhengxu & Xia, Yufei & He, Lingyun & Sun, Naili & Zheng, Qiong, 2025. "Can internal regulatory technology (RegTech) mitigate bank credit risk? Evidence from the banking sector in China," Research in International Business and Finance, Elsevier, vol. 75(C).
  6. Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl, 2019. "Network quantile autoregression," Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
  7. Mazzarisi, Piero & Lillo, Fabrizio & Marmi, Stefano, 2019. "When panic makes you blind: A chaotic route to systemic risk," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 176-199.
  8. Lillo, Fabrizio & Livieri, Giulia & Marmi, Stefano & Solomko, Anton & Vaienti, Sandro, 2023. "Analysis of bank leverage via dynamical systems and deep neural networks," LSE Research Online Documents on Economics 119917, London School of Economics and Political Science, LSE Library.
  9. Lillo, Fabrizio & Livieri, Giulia & Marmi, Stefano & Solomko, Anton & Vaienti, Sandro, 2023. "Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems," LSE Research Online Documents on Economics 120290, London School of Economics and Political Science, LSE Library.
  10. Barnett, William A. & Wang, Xue & Xu, Hai-Chuan & Zhou, Wei-Xing, 2022. "Hierarchical contagions in the interdependent financial network," Journal of Financial Stability, Elsevier, vol. 61(C).
  11. 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.
  12. Rama Cont & Darrell Duffie & Paul Glasserman & Chris Rogers & Fernando Vega-Redondo, 2016. "Preface to the Special Issue on Systemic Risk: Models and Mechanisms," Operations Research, INFORMS, vol. 64(5), pages 1053-1055, October.
  13. Poledna, Sebastian & Martínez-Jaramillo, Serafín & Caccioli, Fabio & Thurner, Stefan, 2021. "Quantification of systemic risk from overlapping portfolios in the financial system," Journal of Financial Stability, Elsevier, vol. 52(C).
  14. Corsi, Fulvio & Lillo, Fabrizio & Pirino, Davide & Trapin, Luca, 2018. "Measuring the propagation of financial distress with Granger-causality tail risk networks," Journal of Financial Stability, Elsevier, vol. 38(C), pages 18-36.
  15. Patel, Pankaj C. & Ojha, Divesh & Naskar, Shankar, 2022. "The effect of firm efficiency on firm performance: Evidence from the Domestic Production Activities Deduction Act," International Journal of Production Economics, Elsevier, vol. 253(C).
  16. Piero Mazzarisi & Fabrizio Lillo & Stefano Marmi, 2018. "When panic makes you blind: a chaotic route to systemic risk," Papers 1805.00785, arXiv.org.
  17. Michel Dacorogna & Marc Busse, 2017. "The Price of Being a Systemically Important Financial Institution (SIFI)," International Review of Finance, International Review of Finance Ltd., vol. 17(4), pages 611-616, December.
  18. Stanislao Gualdi & Giulio Cimini & Kevin Primicerio & Riccardo Di Clemente & Damien Challet, 2016. "Statistically validated network of portfolio overlaps and systemic risk," Post-Print hal-01705092, HAL.
  19. Lin, Li & Guo, Xin-Yu, 2019. "Identifying fragility for the stock market: Perspective from the portfolio overlaps network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 132-151.
  20. 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.
  21. 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.
  22. Andreas Mühlbacher & Thomas Guhr, 2018. "Extreme Portfolio Loss Correlations in Credit Risk," Risks, MDPI, vol. 6(3), pages 1-25, July.
  23. Sachapon Tungsong & Fabio Caccioli & Tomaso Aste, 2017. "Relation between regional uncertainty spillovers in the global banking system," Papers 1702.05944, arXiv.org.
  24. Tiziano Squartini & Guido Caldarelli & Giulio Cimini & Andrea Gabrielli & Diego Garlaschelli, 2018. "Reconstruction methods for networks: the case of economic and financial systems," Papers 1806.06941, arXiv.org.
  25. Shan Lu & Jichang Zhao & Huiwen Wang, 2019. "The emergence of critical stocks in market crash," Papers 1908.07244, arXiv.org.
  26. Fabrizio Lillo & Giulia Livieri & Stefano Marmi & Anton Solomko & Sandro Vaienti, 2021. "Analysis of bank leverage via dynamical systems and deep neural networks," Papers 2104.04960, arXiv.org.
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