's capital on its contribution to systemic risk in the network is considerably larger when interconnectedness is high (good times …We implement a novel method to detect systemically important financial institutions in a network. The method consists …

We explore the dynamics of default cascades in a network of credit interlink-ages in which each agent is at the same … 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 …

The recent financial crisis poses the challenge to understand how systemic risk arises endogenously and what … architecture can make the financial system more resilient to global crises. This paper shows that a financial network can be most … resilient for intermediate levels of risk diversification, and not when this is maximal, as generally thought so far. This …

measures of centrality, quantifying network effects due to interactions among banks in the market, can help explain … to reduce average daily interest rates. Foreign banks borrow at a discount over Italian ones. (2) After August 2007 the …’s bankruptcy the effect of centrality on the spread maintains the same sign as after August 2007, but the magnitude increases …

This paper provides an in depth microstructure analysis of the euro money market by taking a network perspective. Banks …, exhibit the small world property and a power-law distribution of degree (the number of counterparties each bank establishes … relatively denser, is much lower than in other real networks. The time patterns of some network statistics provide interesting …

crisis of 2007-2009. Recently, Beal et al. (2011, gIndividual versus systemic risk and the regulatorfs dilemmah, Proc Natl … Acad Sci USA 108: 12647-12652) demonstrated that higher portfolio diversity among banks would reduce systemic risk by … decreasing the likelihood of simultaneous defaults. Here, I show that this result is overturned once a financial network comes …

A financial network model, where the coded identity of the counterparties of every trade is known, is applied to both … financial crisis by using various network investigation tools such as links, interconnectivity, and reciprocity. In addition, we …

relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in … division of roles between borrowers and lenders in long-run relations by providing evidence on network formation at a yearly …-central banks’ within a network that lend (or borrow) large volumes to (from) several counterparties, while borrowing (or lending …

In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may … influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several … sovereign sector and the mechanisms of risk transfer between the banks and the sovereigns when state aid is initiated. The model …