Systemic risk of a banking system arises from cascading defaults due to interbank linkages. We propose a model which distinguishes systemic risk from its drivers -- systematic and idiosyncratic risks. Systemic risk is characterised by systemic exposure and systemic fragility, corresponding to...

The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of economic policy decisions. We consider optimizing the...