We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and … to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which …' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise. …

possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies … network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of …

financial network where good firms enjoy direct and indirect benefits from linking with one another. Bad risks benefit from … efficient ones. We also study extensions with heterogenous “bad risks,” with diversity in the costs to good risk firms of …

through the network of exposures. Using detailed DTCC data we model the full network of exposures, the shock-induced payments …, the initial margin collected, and liquidity buffers for about 900 firms operating in the U.S. credit default swaps market … approach from conventional network models, which typically assume that full default is triggered whenever the default boundary …

after August 2007 since medium-sized and very small banks progressively increase their influence in the market as liquidity …This paper provides a detailed microstructure analysis of the euro money market by taking a network perspective. Banks … network indicators confirms a number of stylised facts verified for other real complex systems: interbank networks are highly …

economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks … and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the … approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes …

This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the … have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions … amount. -- capital buffers ; contagion ; contagious defaults ; inhomogeneities ; network models ; financial system stability …