We present a framework for quantifying the impact of fire sales in a network of financial institutions with common asset holdings, subject to leverage or capital constraints. Asset losses triggered by macro-shocks may interact with one-sided portfolio constraints, such as leverage or capital...

We propose two indicators for quantifying the potential exposure of financial institutions to indirect contagion arising from deleveraging of assets in stress scenarios. The first indicator, the Endogenous Risk Index (ERI) captures spillovers across portfolios arising from deleveraging in stress...

We present an operational framework for quantifying the impact of deleveraging in stress scenarios by financial institutions subject to portfolio constraints. Market impact of portfolio deleveraging in stress scenarios leads to price-mediated contagion across institutions with similar holdings....

We propose an additional funding tool for the collective effort against the COVID-19 pandemic and its economic fallout by issuing European Corona Solidarity Bonds (ECSBs) which are backed by revenues on a new EU-wide universal tax on financial assets, collected at the source.To combat the...

We propose a systematic algorithmic reverse-stress testing methodology to create ``worst case" scenarios for regulatory stress tests by accounting for losses that arise from distressed portfolio liquidations. First, we derive the optimal bank response for any given shock. Then, we introduce an...

We build a framework for modelling fire sales where banks face both liquidity and solvency constraints and choose which assets to sell in order to minimise liquidation losses. Banks constrained by the leverage ratio prefer to first sell assets that are liquid and held in small amounts, while...

Despite substantial regulatory reforms, MMFs exposed to private assets experienced severe stress in March 2020. In the EU, Low Volatility Net Asset Value (LVNAVs) MMFs faced acute challenges to meet regulatory requirements while facing high redemptions. Such funds have to maintain their...

In October 2017, the European Systemic Risk Board (ESRB) set up a group whose objective was to examine cyber security vulnerabilities within the financial sector, and their potential impact on financial stability and the real economy. In its first year, the European Systemic Cyber Group (ESCG)...