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A dynamic contagion risk model with recovery features

Amini, Hamed; Minca, Andreea; Sulem, Agnès - In: Mathematics of operations research 47 (2022) 2, pp. 1412-1442

Persistent link: https://www.econbiz.de/10013365316

An optimal early warning system for currency crises under model uncertainty

Abdelsalam, Mamdouh Abdelmoula Mohamed; Abdel-Latif, Hany - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 3, pp. 99-107

This paper assesses several early warning (EWS) models of financial crises to propose a model that can predict the incidence of a currency crisis in developing countries. For this purpose, we employ the equal weighting (EW) and dynamic model averaging (DMA) approaches to combine forecast from...

Persistent link: https://www.econbiz.de/10012311939

An optimal early warning system for currency crises under model uncertainty

Abdelsalama, Mamdouh Abdelmoula M.; Abdel-Latif, Hany - 2019

Persistent link: https://www.econbiz.de/10012059792

Systemic risk and financial networks

Li, Bingqing; Zhang, Xiaoyuan - In: The quarterly review of economics and finance 94 (2024), pp. 25-36

Persistent link: https://www.econbiz.de/10014494651

Measuring the systemic risk in indirect financial networks

Cao, Jie; Wen, Fenghua; Stanley, H. Eugene - In: The European journal of finance 28 (2022) 11, pp. 1053-1098

Persistent link: https://www.econbiz.de/10013373362

Systemic Risk and Vulnerabilities of Bank Networks

Vodenska, Irena - 2017

paper we study the European bank network and its vulnerability to stressing differ- ent bank assets. The importance of macro … bipartite network with bank nodes on one hand and asset nodes on the other with weighted links between the two layers based on … stressing the bank network and find that while the system is able to withstand shocks for a wide range of parameters, we …

Persistent link: https://www.econbiz.de/10012945974