Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level...

Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level...

Although the complex financial markets more often lead to more social welfare in modern economic systems, they can also cause more severe failures in the case of market downturns. Accordingly, Similar to other complex systems, financial markets are also exposed to systemic risks. Considering the...

Systemic risk events constitute an important issue in current financial systems. A leading course of action used to mitigate such events is identification of systemically important agents in order to implement the prudential policies in a financial system. In this paper, a bi-level...

In the recent years, different systemic risk measures are developed to analyze the exposure of risk among different financial agents. Due to the potential of network theory in the analysis of the interconnections among non-linear complex systems, in this paper, financial networks are applied to...

Due to the slow diffusion of information in inefficient financial markets, the transmission of idiosyncratic shocks makes financial links among firms and affects their prices. In this paper, we estimate the links among 250 firms on Tehran Stock Exchange using monthly past prices. Then, we...