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A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

Ge, Shuyi - In: Journal of economic dynamics & control 146 (2023), pp. 1-30

Persistent link: https://www.econbiz.de/10014478151

A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

Ge, Shuyi - 2020

Persistent link: https://www.econbiz.de/10013206477

How the interbank market becomes systemically dangerous : an agent-based network model of financial distress propagation

Serri, Matteo; Caldarelli, Guido; Cimini, Giulio - In: The journal of network theory in finance 3 (2017) 1, pp. 35-52

Persistent link: https://www.econbiz.de/10011668581

Margin requirements and systemic liquidity risk

Bakoush, Mohamed; Gerding, Enrico H.; Wolfe, Simon - In: Journal of international financial markets, … 58 (2019), pp. 78-95

Persistent link: https://www.econbiz.de/10012127827

Can banks default overnight? : modelling endogenous contagion on the O/N interbank market

Smaga, P.; Wiliński, M.; Ochnicki, P.; Arendarski, P.; … - In: Quantitative finance 18 (2018) 11, pp. 1815-1829

Persistent link: https://www.econbiz.de/10012262180

Sovereign default, exit and contagion in a monetary union

Eijffinger, Sylvester C. W.; Kobielarz, Michał; Uras, Burak - In: Journal of international economics 113 (2018), pp. 1-19

Persistent link: https://www.econbiz.de/10012037919

Assessing systemic fragility : a probabilistic perspective

Radev, Deyan - In: Journal of risk 25 (2022) 2, pp. 47-74

Persistent link: https://www.econbiz.de/10014342462

Systemic risk in financial systems : a feedback approach

Silva, Thiago Christiano; Silva, Michel Alexandre da; … - In: Journal of economic behavior & organization : JEBO 144 (2017), pp. 97-120

Persistent link: https://www.econbiz.de/10011926888

Assessing systemic fragility : a probabilistic perspective

Radev, Deyan - 2014

We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS...

Persistent link: https://www.econbiz.de/10010419854

Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2020

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. …

Persistent link: https://www.econbiz.de/10012163949