The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of attention has been paid to the understanding of the...

We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the presence of uncertainty on banks' external assets. At the...

We performed a study of the Bolivian high-value payment system between 2015 and 2020 and of the network of interbank exposures between 2018 and 2020. We characterize the network structure of these systems and perform a systemic risk analysis. We find that the connectivity of the payment network...

After the Global Financial Crisis (GFC), systemic risk measurement became crucial for policy makers as well as for academics. We have witnessed an important increase in the number of methodologies proposed. Among such proposals, DebtRank arose as perhaps one of the most relevant in this context,...

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 “systemically important financial institutions” (SIFIs, now referred to as “globally systemically important banks” or G-SIBs), institutions whose failure, by...

What kind of models do we need to guide us through the next crisis? If past crises are any indication, we need to explore new approaches. During the Great Financial Crisis, the models that existed at the time were of little value because they focused on firm-level interactions and did not...