Caccioli, Fabio; Farmer, J. Doyne; Foti, Nick; … - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 50-63
We study the problem of interacting channels of contagion in financial networks. The first channel of contagion is counterparty failure risk; this is captured empirically using data for the Austrian interbank network. The second channel of contagion is overlapping portfolio exposures; this is...