Price Contagion through Balance Sheet Linkages

Citations

Cited by:

1. Zachary Feinstein, 2018. "Capital Regulation under Price Impacts and Dynamic Financial Contagion," Papers 1807.02711, arXiv.org, revised Aug 2019.
2. Feinstein, Zachary, 2020. "Capital regulation under price impacts and dynamic financial contagion," European Journal of Operational Research, Elsevier, vol. 281(2), pages 449-463.
3. 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.
4. 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.
5. 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.
6. 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.).
7. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
8. 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.
9. 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, 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.
   • 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.
10. 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.
11. 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.
12. 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.
13. Zachary Feinstein, 2017. "Obligations with Physical Delivery in a Multi-Layered Financial Network," Papers 1702.07936, arXiv.org, revised May 2019.
14. 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.
15. Agathe Sadeghi & Zachary Feinstein, 2024. "Statistical Validation of Contagion Centrality in Financial Networks," Papers 2404.14337, arXiv.org, revised Feb 2025.
16. 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.
17. Dohyun Ahn & Agostino Capponi, 2026. "Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks," Papers 2602.12770, arXiv.org.
18. T. R. Hurd, 2023. "Systemic cascades on inhomogeneous random financial networks," Mathematics and Financial Economics, Springer, volume 17, number 1, December.
19. 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).
20. 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.
21. 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.
22. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2022. "Market Efficient Portfolios in a Systemic Economy," Operations Research, INFORMS, vol. 70(2), pages 715-728, March.
23. 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.
24. 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.
25. 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).
26. 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.
27. 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.
28. 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.
29. 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.
30. 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).