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Risk-sharing and contagion in networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2013
Persistent link: https://www.econbiz.de/10009763607
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Risk-sharing and contagion in networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2014 - This version: January 15, 2014
We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays "fat" tails, extreme segmentation …
Persistent link: https://www.econbiz.de/10010260030
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Risk-sharing and contagion in networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2013
Persistent link: https://www.econbiz.de/10010474999
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Risk-Sharing and Contagion in Networks
Cabrales, Antonio - 2014
We investigate the trade-off between the risk-sharing gains enjoyed by more interconnected firms and the costs … resulting from an increased risk exposure. We find that when the shock distribution displays “fat” tails, extreme segmentation …
Persistent link: https://www.econbiz.de/10013055377
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Risk-sharing and contagion in networks
Cabrales, Antonio; Gottardi, Piero; Vega-Redondo, Fernando - 2014
Persistent link: https://www.econbiz.de/10011648067
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Robust Risk Quantification via Shock Propagation in Financial Networks
Ahn, Dohyun; Chen, Nan; Kim, Kyoung-Kuk - 2023
Given limited network information, we consider robust risk quantification under the Eisenberg-Noe model for financial …
Persistent link: https://www.econbiz.de/10014349608
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Wave after Wave : Contagion Risk from Commodity Markets
Algieri, Bernardina - 2017
The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …
Persistent link: https://www.econbiz.de/10012954826
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Wave after wave : contagion risk from commodity markets
Algieri, Bernardina; Leccadito, Arturo - 2017
The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity … markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this … purpose, we use the delta Conditional Value-at-Risk CoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based …
Persistent link: https://www.econbiz.de/10011656414
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Risk spillovers and interconnectedness between systemically important institutions
Andrieş, Alin Marius; Ongena, Steven; Sprincean, Nicu; … - 2020 - This version: May 9, 2020
. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …
Persistent link: https://www.econbiz.de/10012219367
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Cyber risk contagion
Agosto, Arianna; Giudici, Paolo - In: Risks : open access journal 11 (2023) 9, pp. 1-10
Financial technologies (fintechs) are continuously expanding, across different markets and financial services. While financial technologies bring many opportunities, such as reduced costs and extended inclusion, they also bring risks, among which include cyber risks, that are difficult to...
Persistent link: https://www.econbiz.de/10014375287