We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

should be nowadays replaced with a network-oriented view. Closer insight into the concept of systemic risk can refer to the …Systemic risk is a fundamental constituent of contemporary financial systems. For the past decades a growing number of … external or internal impulses. This requires a paradigm shift in thinking about systemic risk. A component-oriented perspective …

This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations … a flow network technique to investigate how the interconnected feature could affect the required liquidity. Our main … fundamental perspective of how a hub or other network structures affect the required liquidity. We further investigate the …

spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different … commodity network structures and non-identical direction of risk transmission between commodities in these two crises. Gold and …Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk …

Starting in September 2008, market regulators from stock markets across the world have introduced, at different points … bans is that short-selling increases the volatility and contagion risk of financial institutions. This paper uses Extreme … Value Theory to calculate univariate and contagion risk across financial institutions, and the effect of short-selling on …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for …

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