investigate how the structure of those networks can affect the capacity of regulators to assess the level of systemic risk. We … network of credit contracts and exposed to external shocks with a generic correlation structure. Even in the presence of … of systemic risk in terms of expected losses. We further quantify the effects of cyclicality, leverage, volatility and …

exposure to those counterparties. A possible conjecture in this context is that individual risk diversification across more … particular, the diversification of credit risk across many borrowers has ambiguous effects on systemic risk in the presence of …