financial system to minimize potential contagion losses. Building on ideas from combinatorial optimization tailored to … controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … of fire sale mechanisms. We then demonstrate the power of the methodology on the euro area banking system based on a …

We provide a simple and tractable accounting-based stress-testing framework to assess loss dynamics in the banking … sector, in a context of leverage targeting. Contagion can occur through direct interbank exposures, and indirect exposures … contagion is negligible in our analysis. Our findings underscore the importance of accurately estimating the price effects of …

contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies …

contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies …

traded quantities are determined by means of a matching algorithm. Contagion occurs through liquidity hoarding, interbank …

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. …

on granular balance sheet and interbank exposure data of the Canadian banking market. First, we document that contagion …We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the … structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales …

This paper presents a comprehensive model of financial contagion encompassing both direct and indirect transmission … channels. We introduce direct contagion through a 2-layered multiplex network to account for the distinct dynamics resulting …