Alessandri, Piergiorgio; Gai, Prasanna; Kapadia, Sujit; … - In: International Journal of Central Banking 5 (2009) 3, pp. 47-81
This paper describes a prototype quantitative framework for gauging systemic risk which explicitly characterizes banks’ balance sheets and allows for macro credit risk, interest income risk, market risk, network interactions, and asset-side feedback effects. In presenting our results, we focus...