We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations … a flow network technique to investigate how the interconnected feature could affect the required liquidity. Our main … fundamental perspective of how a hub or other network structures affect the required liquidity. We further investigate the …

spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different … commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and …Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk …

. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for …

network. Our results reveal that the US, the UK, France and Germany pose the highest threat to the systemic stability …

This paper studies how global banks transmit liquidity shocks via their internal capital markets. The unexpected access … as our liquidity shock. Using microdata on all affiliates abroad, we test whether affiliates located outside the US … actively managed internal capital markets and the increased centralization of global banks' liquidity management at the …