We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

This paper investigates systemic risk and contagion processes in the inter-bank network using network science methods …. The inter-bank network consisting 10 banks, similar to the real world inter-bank networks, is studied to understand the … contagion process in the network regarding changes in the network structure, as well as changes in the characteristics of …

We explore the dynamics of default cascades in a network of credit interlinkages in which each agent is at the same … exposure to those counterparties. A possible conjecture in this context is that individual risk diversification across more … particular, the diversification of credit risk across many borrowers has ambiguous effects on systemic risk in the presence of …

huge shock to the world's financial markets, which were already stressed from the deflated housing bubble and questions …, contributing to a retraction of wholesale funding and a severe liquidity crisis for many firms, including many with no direct links …

We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system …. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators … sovereign default risk has outpaced the rise of systemic risk within the banking system. …

Europe that, before the crisis (2007), were closest in terms of fiscal space (debt/tax). We find that PIIGS default risk is …We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and … zone countries, and the PIIGS in particular, as elsewhere in the world. We validate that fiscal space has been an important …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

corporate sectors using financial network models, in which the significant links are identified through conditional independence … testing. While the existing financial network literature is mostly focused on Gaussian processes, our approach is based on …