The purpose of this study is to assess the resilience of financial systems to exogenous shocks using techniques drawn from the theory of complex networks. We investigate by means of Monte Carlo simulations the fragility of several network topologies using a simple default model of contagion...

Contagion is an elusive concept and several definitions have been used in the literature. According to Forbes and Rigobon (2002) contagion is defined as a significant increase in cross-market linkages after a shock to one country. In this paper we provide a selective literature review on...

Empirical evidence of cross-asset market linkages when bond markets plunge is scarce in the co-movement correlation literature. In this note we investigate stock-sovereign bond return correlations focusing on the Greek debt crisis period. We show that the return correlation between the two asset...

We investigate information shares in the price discovery process in the euroarea sovereign bond market across the yield curve, during both calm and crisis periods. We employ a rich high-frequency dataset from the MTS platform. We find that price discovery is enhanced, on average, especially for...