-2010, we identify four phases; a pre-crisis period to July 2007, two phases of crisis up to and following October 2008, and a …

In our network analysis of 40 developed, emerging and frontier stock markets during 2006-2014, we describe and model … interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic …

this crisis. During the Irish financial crisis from 2007 to 2010, strong contagion effects are uncovered between Irish …

We develop a dynamic computational network model of the banking system where fire sales provide the amplification …. Banks with excess liquidity also offer loans to other banks with insufficient liquidity. Thus, each period an interbank loan … uncertainty is endogenous and related to the structure of the interbank network. …

exploring a novel dimension of systemic risk: loss dynamics. I document that Spillover Persistence declines when fragility … builds up, during the run-up phase of crises and asset price bubbles, and increases when systemic risk materializes …

sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as …

Network, established in 2012, brings together researchers from around the world with access to micro-level data on individual … studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

Network (IBRN), established in 2012, brings together researchers from around the world with access to micro-data on individual … studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …