positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

We develop an agent-based model of traditional banks and asset managers to investigate the contagion risk related to … exacerbate contagion when their voluntary liquid buffers are fully utilised. Fourth, a system with larger and more interconnected … agents is more prone to contagion risk stemming from funding shocks. …

portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS …

contagion using the theories of dynamical systems. Here, our main goal is to model the Eurozone financial crisis within that … detail how a suitable model can be set up for the Eurozone crisis. The dynamical system is defined by the evolution of the … prospect theory. Contagion is formulated in terms of how the market instability indicators for the different subsystems and the …

contagion of shocks to asset prices within and between the two financial sectors, including the effects of fire sales and their …. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and … managers absorb small liquidity shocks but they exacerbate contagion when liquid buffers are fully utilised. …