Similar Search Results

Systemic risk analytics : a data-driven multi-agent financial network (MAFN) approach

Markose, Sheri M. - In: Journal of banking regulation 14 (2013) 3/4, pp. 285-305

Persistent link: https://www.econbiz.de/10010357111

"Too interconnected to fail" financial network of US CDS market : topological fragility and systemic risk

Markose, Sheri M.; Giansante, Simone; Shaghaghi, Ali Rais - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 627-646

Persistent link: https://www.econbiz.de/10009697980

The generalized extreme value (GEV) distribution, implied tail index and option pricing

Markose, Sheri M. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002834204

‘Too Interconnected to Fail’ Financial Network of US CDS Market : Topological Fragility and Systemic Risk

Markose, Sheri M. - 2016

A small segment of credit default swaps (CDS) on residential mortgage backed securities (RMBS) stand implicated in the 2007 financial crisis. The dominance of a few big players in the chains of insurance and reinsurance for CDS credit risk mitigation for banks' assets has led to the idea of too...

Persistent link: https://www.econbiz.de/10013007657

Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis

Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012

Persistent link: https://www.econbiz.de/10009544686