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Interbank asset-liability networks with fire sale management

Feinstein, Zachary; Hałaj, Grzegorz - 2023

financial services, it also creates structural vulnerabilities: pernicious shock transmission and amplification impacting banks …

Persistent link: https://www.econbiz.de/10014278677

Portfolio diversification and systemic risk in interbank networks

Tasca, Paolo; Battiston, Stefano; Deghi, Andrea - In: Journal of economic dynamics & control 82 (2017), pp. 96-124

Persistent link: https://www.econbiz.de/10011915509

Shock on variable or shock on distribution with application to stress-tests

Dubecq, Simon; Gouriéroux, Christian - 2012

Persistent link: https://www.econbiz.de/10009574513

Shock on variable or shock on distribution with application to stress-tests

Dubecq, Simon; Gouriéroux, Christian - 2012

Persistent link: https://www.econbiz.de/10009553170

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Dubecq, Simon - 2012

The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...

Persistent link: https://www.econbiz.de/10013109680