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Financial Networks, Cross Holdings, and Limited Liability

Citations

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Cited by:

  1. Giuseppe Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2021. "Optimal Clearing Payments in a Financial Contagion Model," Papers 2103.10872, arXiv.org, revised Feb 2024.
  2. Hamed Amini & Maxim Bichuch & Zachary Feinstein, 2021. "Decentralized Payment Clearing using Blockchain and Optimal Bidding," Papers 2109.00446, arXiv.org, revised Jan 2022.
  3. Luitgard Anna Maria Veraart, 2022. "When does portfolio compression reduce systemic risk?," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 727-778, July.
  4. Carlos León & Javier Miguélez, 2021. "Securities cross-holding in the Colombian financial system: a topological approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 786-806, February.
  5. 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.
  6. Aein Khabazian & Jiming Peng, 2019. "Vulnerability Analysis of the Financial Network," Management Science, INFORMS, vol. 65(7), pages 3302-3321, July.
  7. Lukas Gonon & Thilo Meyer-Brandis & Niklas Weber, 2024. "Computing Systemic Risk Measures with Graph Neural Networks," Papers 2410.07222, arXiv.org.
  8. Padellini, Mauro, 2021. "Balance sheet and seniority constraints on the repayment value of claims," MPRA Paper 107256, University Library of Munich, Germany.
  9. Walter Farkas & Patrick Lucescu, 2024. "Modeling Risk Sharing and Impact on Systemic Risk," Mathematics, MDPI, vol. 12(13), pages 1-19, July.
  10. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
  11. Christoph Siebenbrunner & Michael Sigmund & Stefan Kerbl, 2017. "Can bank-specific variables predict contagion effects?," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1805-1832, December.
  12. 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.
  13. Panagiotis Kanellopoulos & Maria Kyropoulou & Hao Zhou, 2021. "Financial Network Games," Papers 2107.06623, arXiv.org.
  14. 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.
  15. Zachary Feinstein & Andreas Sojmark, 2019. "A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field," Papers 1912.08695, arXiv.org.
  16. Sabine Karl & Tom Fischer, 2013. "Cross-Ownership as a Structural Explanation for Over- and Underestimation of Default Probability," Papers 1301.6069, arXiv.org.
  17. Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.
  18. 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.
  19. Ketelaars, Martijn & Borm, Peter & Herings, P.J.J., 2023. "Duality in Financial Networks," Discussion Paper 2023-016, Tilburg University, Center for Economic Research.
  20. Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
  21. Tathagata Banerjee & Alex Bernstein & Zachary Feinstein, 2018. "Dynamic Clearing and Contagion in Financial Networks," Papers 1801.02091, arXiv.org, revised Jun 2024.
  22. Jose Arreola Hernandez & Sang Hoon Kang & Ron P. McIver & Seong-Min Yoon, 2021. "Network Interdependence and Optimization of Bank Portfolios from Developed and Emerging Asia Pacific Countries," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 613-647, December.
  23. Christoph Siebenbrunner, 2017. "Clearing algorithms and network centrality," Papers 1706.00284, arXiv.org.
  24. Banerjee, Tathagata & Bernstein, Alex & Feinstein, Zachary, 2025. "Dynamic clearing and contagion in financial networks," European Journal of Operational Research, Elsevier, vol. 321(2), pages 664-675.
  25. Mark Paddrik & Sriram Rajan & H. Peyton Young, 2020. "Contagion in Derivatives Markets," Management Science, INFORMS, vol. 66(8), pages 3603-3616, August.
  26. Kallio, Markku & Khabazian, Aein, 2025. "Stabilizing financial networks via mergers and acquisitions," European Journal of Operational Research, Elsevier, vol. 321(1), pages 314-329.
  27. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
  28. Siebenbrunner, Christoph & Hafner-Guth, Martin & Spitzer, Ralph & Trappl, Stefan, 2024. "Assessing the systemic risk impact of bank bail-ins," Journal of Financial Stability, Elsevier, vol. 71(C).
  29. Padellini, Mauro, 2021. "Balance sheet and seniority constraints on the repayment value of claims," MPRA Paper 107295, University Library of Munich, Germany.
  30. Edoardo Gaffeo & Lucio Gobbi & Massimo Molinari, 2019. "Liquidity contagion with a “first-in/first-out†seniority of claims," Economics Bulletin, AccessEcon, vol. 39(4), pages 2572-2579.
  31. c{C}au{g}{i}n Ararat & Nurtai Meimanjan, 2019. "Computation of systemic risk measures: a mixed-integer programming approach," Papers 1903.08367, arXiv.org, revised Aug 2023.
  32. Giuseppe C. Calafiore & Giulia Fracastoro & Anton V. Proskurnikov, 2022. "Clearing Payments in Dynamic Financial Networks," Papers 2201.12898, arXiv.org, revised May 2022.
  33. 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.
  34. Giuseppe Calafiore & Giulia Fracastoro & Anton Proskurnikov, 2024. "Default Resilience and Worst-Case Effects in Financial Networks," Papers 2403.10631, arXiv.org.
  35. Peilong Shen & Zhinan Li, 2020. "Financial contagion in inter-bank networks with overlapping portfolios," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 845-865, October.
  36. 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.
  37. 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.
  38. Samim Ghamami & Paul Glasserman & H. Peyton Young, 2022. "Collateralized Networks," Management Science, INFORMS, vol. 68(3), pages 2202-2225, March.
  39. Leonardo Massai & Giacomo Como & Fabio Fagnani, 2019. "Equilibria and Systemic Risk in Saturated Networks," Papers 1912.04815, arXiv.org, revised Jan 2021.
  40. Gabriele Visentin & Stefano Battiston & Marco D'Errico, 2016. "Rethinking Financial Contagion," Papers 1608.07831, arXiv.org.
  41. 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.
  42. 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.
  43. Sonin, Konstantin & Sonin, Isaac, 2020. "A Continuous-Time Model of Financial Clearing," CEPR Discussion Papers 15117, C.E.P.R. Discussion Papers.
  44. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
  45. Nicolas Houy & Frédéric Jouneau & François Le Grand, 2020. "Defaulting firms and systemic risks in financial networks: a normative approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 503-526, September.
  46. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  47. Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022. "Collateralized networks," LSE Research Online Documents on Economics 107496, London School of Economics and Political Science, LSE Library.
  48. Maxim Bichuch & Nils Detering, 2022. "Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective," Papers 2201.12731, arXiv.org, revised Mar 2024.
  49. Matteo Citterio & Marco D'Errico & Gabriele Visentin, 2024. "Conditional Forecasting of Margin Calls using Dynamic Graph Neural Networks," Papers 2410.23275, arXiv.org.
  50. Nils Bertschinger & Julian Stobbe, 2018. "Systemic Greeks: Measuring risk in financial networks," Papers 1810.11849, arXiv.org.
  51. Nils Bertschinger & Axel A. Araneda, 2021. "Cross-ownership as a structural explanation for rising correlations in crisis times," Papers 2112.04824, arXiv.org.
  52. Shane Barratt & Stephen Boyd, 2020. "Multi-Period Liability Clearing via Convex Optimal Control," Papers 2005.09066, arXiv.org.
  53. Wissam AlAli & c{C}au{g}{i}n Ararat, 2024. "Systemic values-at-risk and their sample-average approximations," Papers 2408.08511, arXiv.org.
  54. Feinstein Zachary & El-Masri Fatena, 2017. "The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 113-139, September.
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