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Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports which yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous...
Persistent link: https://www.econbiz.de/10010875611
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The grass is always greener on the other side of the fence : the effect of misperceived signalling in a network formation process
Giansante, Simone; Kirman, Alan P.; Markose, Sheri M.; … - In: Artificial markets modeling : methods and applications, (pp. 223-234). 2007
Persistent link: https://www.econbiz.de/10003854824
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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"Too interconnected to fail" financial network of US CDS market : topological fragility and systemic risk
Markose, Sheri M.; Giansante, Simone; Shaghaghi, Ali Rais - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 627-646
Persistent link: https://www.econbiz.de/10009697980
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Marginal contribution, reciprocity and equity in segregated groups : bounded rationality and self-organization in social networks
Kirman, Alan P.; Markose, Sheri M.; Giansante, Simone; … - In: Journal of economic dynamics & control 31 (2007) 6, pp. 2085-2107
Persistent link: https://www.econbiz.de/10003487865
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Early Warning of Systemic Risk In Global Banking : Balance Sheet Eigen-Pair and Market Price-based Methods
Markose, Sheri M. - 2020
We analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk Indexes (SRIs), viz. MES (Marginal Expected Shortfall),...
Persistent link: https://www.econbiz.de/10012854769
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The Impact of Quantitative Easing on UK Bank Lending : Why Banks Do Not Lend to Businesses?
Fatouh, Mahmoud - 2018
The growing proportion of UK bank lending to the financial sector reached a peak in 2007 just before the onset of the Global Financial Crisis (GFC). This marks a trend in the dwindling amount of bank lending to private sector non-financial corporations (PNFCs), which was exacerbated with the...
Persistent link: https://www.econbiz.de/10012918467
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Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO) : Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis
Markose, Sheri M. - 2016
A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports which yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous...
Persistent link: https://www.econbiz.de/10013007658
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The impact of quantitative easing on UK bank lending : why banks do not lend to businesses?
Fatouh, Mahmoud; Markose, Sheri M.; Giansante, Simone - In: Journal of economic behavior & organization : JEBO 183 (2021), pp. 928-953
Persistent link: https://www.econbiz.de/10012600017