We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial … literature. When applying the new model to data from the European Banking Authority we find that the risk from distress contagion …

This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations … a flow network technique to investigate how the interconnected feature could affect the required liquidity. Our main … fundamental perspective of how a hub or other network structures affect the required liquidity. We further investigate the …

This paper studies how global banks transmit liquidity shocks via their internal capital markets. The unexpected access … as our liquidity shock. Using microdata on all affiliates abroad, we test whether affiliates located outside the US … actively managed internal capital markets and the increased centralization of global banks' liquidity management at the …

probability and potential impact of contagion is influenced by aggregate and idiosyncratic shocks, changes in network structure …, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the … resilience of the system in withstanding fairly large shocks prior to 2007 should not have been taken as a reliable guide to its …

into consideration: random graphs, small world networks and scale free networks. These three network topologies are then … stress-tested under four different scenarios: a benchmark case of no liquidity risk and random attack, the case of liquidity …In this paper I assess the resilience of different network topologies to an exogenous shock for varying degrees of …

controlling contagion in case of complete information about an interbank network, we augment the model with three plausible types … network of 373 banks. On the basis of an exogenous shock leading to defaults of some banks in the network, we find that the … modelling framework could be used both as a crisis management tool to help inform decisions on capital/liquidity infusions in …

We model contagions and cascades of failures among organizations linked through a network of financial … interdependencies. We identify how the network propagates discontinuous changes in asset values triggered by failures (e … diversification connect the network which permits cascades to propagate further, but eventually, more diversification makes contagion …

possible network structures we characterize the joint default distribution of the system using Bayesian network methodologies … network theory can be applied to detect contagion channels within the financial network, to measure the systemic importance of …