Price Contagion through Balance Sheet Linkages
Citations
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Cited by:
- T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, December.
- Chang, Jin-Wook & Chuan, Grace, 2024.
"Contagion in debt and collateral markets,"
Journal of Monetary Economics, Elsevier, vol. 148(C).
- Chang, Jin-Wook, 2021. "Contagion in Debt and Collateral Markets," MPRA Paper 111131, University Library of Munich, Germany.
- Jin-Wook Chang & Grace Chuan, 2023. "Contagion in Debt and Collateral Markets," Finance and Economics Discussion Series 2023-016, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Zachary Feinstein, 2018. "Capital Regulation under Price Impacts and Dynamic Financial Contagion," Papers 1807.02711, arXiv.org, revised Aug 2019.
- Hamed Amini & Zhongyuan Cao & Agnès Sulem, 2025. "Fire sales, default cascades and complex financial networks," Mathematics and Financial Economics, Springer, volume 19, number 1, December.
- Agostino Capponi & Paul Glasserman & Marko Weber, 2020. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions," Management Science, INFORMS, vol. 66(8), pages 3581-3602, August.
- Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
- Yann Braouezec & Keyvan Kiani, 2023. "A generalized Nash equilibrium problem arising in banking regulation: An existence result with Tarski's theorem," Post-Print hal-03967896, HAL.
- Feinstein, Zachary, 2020. "Capital regulation under price impacts and dynamic financial contagion," European Journal of Operational Research, Elsevier, vol. 281(2), pages 449-463.
- Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
- Bichuch, Maxim & Feinstein, Zachary, 2022. "A repo model of fire sales with VWAP and LOB pricing mechanisms," European Journal of Operational Research, Elsevier, vol. 296(1), pages 353-367.
- Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
- Pang, Raymond Ka-Kay & Veraart, Luitgard A. M., 2023. "Assessing and mitigating fire sales risk under partial information," LSE Research Online Documents on Economics 120171, London School of Economics and Political Science, LSE Library.
- Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2022.
"A leverage-based measure of financial stability,"
Journal of Financial Intermediation, Elsevier, vol. 51(C).
- Tepper, Alexander & Borowiecki, Karol Jan, 2014. "A Leverage-Based Measure of Financial Instability," Discussion Papers on Economics 14/2014, University of Southern Denmark, Department of Economics.
- Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2021. "A Leverage-Based Measure of Financial Stability," Discussion Papers on Economics 3/2021, University of Southern Denmark, Department of Economics.
- Adrian, Tobias & Borowiecki, Karol Jan & Tepper, Alexander, 2018. "A Leverage-Based Measure of Financial Stability," Discussion Papers on Economics 1/2018, University of Southern Denmark, Department of Economics.
- Adrian, Tobias & Tepper, Alexander & Borowiecki, Karol Jan, 2018. "A Leverage-Based Measure of Financial Stability," CEPR Discussion Papers 12676, Centre for Economic Policy Research.
- Tobias Adrian & Karol Jan Borowiecki & Alexander Tepper, 2014. "A Leverage-Based Measure of Financial Instability," Staff Reports 688, Federal Reserve Bank of New York.
- Sabrina Aufiero & Silvia Bartolucci & Fabio Caccioli & Pierpaolo Vivo, 2025. "Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review," Papers 2508.12007, arXiv.org.
- Fang, Yi & Wang, Yanru & Wang, Qi & Zhao, Yang, 2023. "Policy uncertainty and bank systemic risk: A perspective of risk decomposition," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
- Agostino Capponi & Paul Glasserman & Marko Hans Weber, 2025. "Stress Testing Spillover Risk in Mutual Funds," Management Science, INFORMS, vol. 71(5), pages 4153-4182, May.
- Capponi, Agostino & Dooley, John M. & Oet, Mikhail V. & Ong, Stephen J., 2017. "Capital and resolution policies: The US interbank market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 229-239.
- Yann Braouezec & Keyvan Kiani, 2025. "Preventing Price-Mediated Contagion Due to Fire Sales Externalities: Strategic Foundations of Macroprudential Regulation," Operations Research, INFORMS, vol. 73(1), pages 40-60, January.
- Paulin, James & Calinescu, Anisoara & Wooldridge, Michael, 2019. "Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 200-229.
- Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
- Agostino Capponi & Paul Glasserman & Marko Weber, 2018. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs," Working Papers 18-04, Office of Financial Research, US Department of the Treasury.
- Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2022. "Market Efficient Portfolios in a Systemic Economy," Operations Research, INFORMS, vol. 70(2), pages 715-728, March.
- Agathe Sadeghi & Zachary Feinstein, 2024. "Statistical Validation of Contagion Centrality in Financial Networks," Papers 2404.14337, arXiv.org, revised Feb 2025.
- James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
- Dohyun Ahn & Agostino Capponi, 2026. "Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks," Papers 2602.12770, arXiv.org.
- Pang, Raymond Ka-Kay & Veraart, Luitgard Anna Maria, 2023. "Assessing and mitigating fire sales risk under partial information," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Anastasia Borovykh & Andrea Pascucci & Stefano La Rovere, 2018.
"Systemic risk in a mean-field model of interbank lending with self-exciting shocks,"
IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 806-819, September.
- Anastasia Borovykh & Andrea Pascucci & Stefano la Rovere, 2017. "Systemic risk in a mean-field model of interbank lending with self-exciting shocks," Papers 1710.00231, arXiv.org, revised Jun 2018.
- Gandy, Axel & Veraart, Luitgard A. M., 2021. "Compound poisson models for weighted networks with applications in finance," LSE Research Online Documents on Economics 104185, London School of Economics and Political Science, LSE Library.
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