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The impact of systemic and illiquidity risk on financing with risky collateral

Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202

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Financial contagion in inter-bank networks with overlapping portfolios

Shen, Peilong; Li, Zhinan - In: Journal of economic interaction and coordination 15 (2020) 4, pp. 845-865

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Portfolio homogeneity and systemic risk of financial networks

Huang, Yajing; Liu, Taoxiong; Lien, Da-hsiang Donald - In: Journal of empirical finance 70 (2023), pp. 248-275

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Financial connectivity and excessive liquidity : benefit or risk?

Demir, Müge; Önder, Zeynep - In: Journal of international financial markets, … 62 (2019), pp. 203-221

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Quantification of systemic risk from overlapping portfolios in the financial system

Poledna, Sebastian; Martínez-Jaramillo, Serafín; … - In: Journal of financial stability 52 (2021), pp. 1-9

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Asset diversification and systemic risk in the financial system

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Contagion accounting

Aldasoro, Iñaki; Hüser, Anne-Caroline; Kok Sørensen, … - 2020

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures due to overlapping portfolios with the associated price...