The purpose of the present study is to analyze the network structure of the Mexican large value payment system (LVPS), SPEI, by accounting for all direct participants. We build the bilateral relationships of the financial institutions based on the aggregated amount of transactions performed on a...

A simulation mechanism is designed for crisis propagation accommodating contagion. A new co-evolutionary market model is described, where some of the technical traders change their behaviour during crisis and their decisions become largely influenced by market sentiment rather than based on...

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants...

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to as financial contagion. We simulate crisis transmission in the context of a model of market participants...

Over the past two decades, financial market crises with similar features have occurred in different regions of the world. Unstable cross-market linkages during a crisis are referred to asfinancial contagion. We simulate crisis transmission in the context of a model of market participants...

Recent debacles in the financial industry are a reminder that although risk management tools have greatly developed over the past 15 years, industry vulnerability has not declined proportionately. In our study, we build on Allen and Bali (2007), and infer extreme risk in financial institutions...