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Simulating fire sales in a system of banks and asset managers

Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - In: Journal of banking & finance 138 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013461958

Dynamic balance sheet model with liquidity risk

Hałaj, Grzegorz - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-37

Persistent link: https://www.econbiz.de/10011568790

Risk-based decisions on the asset structure of a bank under partial economic information

Hałaj, Grzegorz - In: Applied mathematical finance 15 (2008) 3/4, pp. 305-329

Persistent link: https://www.econbiz.de/10003751261

Resilience of Canadian banks to funding liquidity shocks

Hałaj, Grzegorz - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-11

The agent-based model of Hałaj (2018) is calibrated to data from granular liquidity reporting by the largest banks in Canada. The model describes propagation and amplification of funding shocks between banks interacting on the interbank market. Some stylized stress-test scenarios of funding...

Persistent link: https://www.econbiz.de/10012545570

Financial fragility of euro area households

Ampudia, Miguel; Vlokhoven, Has van; Żochowski, Dawid - In: Journal of financial stability 27 (2016), pp. 250-262

Persistent link: https://www.econbiz.de/10011705717

Cross-border effects of prudential regulation : Evidence from the euro area

Franch, Fabio; Nocciola, Luca; Żochowski, Dawid - In: Journal of financial stability 53 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012792891

Bank funding costs and solvency

Arnould, Guillaume; Avignone, Giuseppe; Pancaro, Cosimo; … - In: The European journal of finance 28 (2022) 10, pp. 931-963

Persistent link: https://www.econbiz.de/10013373354

Emergence of the EU corporate lending network

Hałaj, Grzegorz; Kochańska, Urszula; Kok Sørensen, … - In: The journal of network theory in finance 1 (2015) 1, pp. 33-76

Persistent link: https://www.econbiz.de/10011374583

The missing links : a global study on uncovering financial network structures from partial data

Anand, Kartik; Lelyveld, Iman van; Banai, Ádám; … - In: Journal of financial stability 35 (2018), pp. 107-119

Persistent link: https://www.econbiz.de/10012156851

How did the Greek credit event impact the credit default swap market?

Hałaj, Grzegorz; Peltonen, Tuomo; Scheicher, Martin - In: Journal of financial stability 35 (2018), pp. 136-158

Persistent link: https://www.econbiz.de/10012156855