. Other systemically important institutions bear more individual market risk. The two groups and the global financial system …

network. Our results reveal that the US, the UK, France and Germany pose the highest threat to the systemic stability …

We systematically analyse how network structure and bank characteristics affect solvency distress contagion risk in … heterogeneous network structures that typify real interbank networks are particularly prone to solvency distress contagion risk … also demonstrate that for real-world interbank networks, simple network metrics other than individual bank connectedness do …

to threshold effects and can increase abruptly when the threshold is exceeded. In addition, the risk posed by indirect … the value of sovereign debt and non-bank financial institutions represent the most significant risk to the functioning of …

We model contagions and cascades of failures among organizations linked through a network of financial … interdependencies. We identify how the network propagates discontinuous changes in asset values triggered by failures (e … diversification connect the network which permits cascades to propagate further, but eventually, more diversification makes contagion …

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest …-off. Liquidity requirements unequivocally decrease systemic risk but at the cost of lower efficiency (measured by aggregate … traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …

resilience of different stylized network topologies and a sensitivity analysis); (iii) generalizing the model to deal with the …

identified as `core´ intermediaries became even more popular and (2) indirect counterparty risk appears to be more of a concern …

which both short- and long-term interbank markets exist. By doing so, we study how liquidity shocks (de)stabilize the system …

In this study the tail systemic risk of the Brazilian banking system is examined, using the conditional quantile as the … risk measure. Multivariate conditional dependence between Brazilian banks is modelled with a vine copula hierarchical … structure. The results demonstrate that Brazilian financial systemic risk increased drastically during the global financial …