In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is on studies that use network analysis paying...

Evidence from the main Colombian payment and settlement systems verifies that local financial networks have self-organized into a modular (i.e. clustered) scale-free (i.e. inhomogeneous) architecture that favors everyday robustness and performance in exchange for rare episodes of fragility but...

An interacting network coupling financial institutions' multiplex (i.e. multi-layer) and financial market infrastructures' single-layer networks gives an accurate picture of a financial system's true connective architecture. We examine and compare the main properties of Colombian multiplex and...

An interacting network coupling financial institutions' multiplex (i.e. multi-layer) and financial market infrastructures' single-layer networks gives an accurate picture of a financial system's true connective architecture. We examine and compare the main properties of Colombian multiplex and...

This paper provides a detailed microstructure analysis of the euro money market by taking a network perspective. Banks are the nodes of the networks; overnight unsecured loans form the links connecting the nodes. The static analysis of network indicators confirms a number of stylised facts...

An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...

The paper employs cointegration, Fully-Modified Ordinary Least Squares (FMOLS), error correction and the Generalized Method of Moments (GMM) techniques to investigate the relationship between economic growth and financial development using annual time series data (1971-2010) from Ghana. Three...

We develop measures of certain kinds of liquidity trading risk that is useful for completing the definition of market risk and for predicting liquidity-adjusted VaR (L-VaR) under illiquid market conditions. We argue that asset liquidity risk associated with the uncertainty of liquidating...

Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies (Germany, United Kingdom, Italy, Brazil and Mexico). Deceleration is affecting several regions in the world and might even become more widespread, exacerbating investor mistrust and...