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Simulating financial contagion dynamics in random interbank networks
Leventides, John; Loukaki, Kalliopi; Papavassiliou, … - In: Journal of economic behavior & organization : JEBO 158 (2019), pp. 500-525
Persistent link: https://www.econbiz.de/10012138608
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Agent-based modeling of systemic risk in the European banking sector
Teply, Petr; Klinger, Tomas - In: Journal of economic interaction and coordination : JEIC 14 (2019) 4, pp. 811-833
Persistent link: https://www.econbiz.de/10012167831
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Expected default based score for identifying systemically important banks
Yao, Yanzhen; Li, Jianping; Zhu, Xiaoqian; Wei, Lu - In: Economic modelling 64 (2017), pp. 589-600
Persistent link: https://www.econbiz.de/10011761314
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Mathematical modeling and analysis of insolvency contagion in an interbank network
Ren, Xuemin; Jiang, Lishang - In: Operations research letters 44 (2016) 6, pp. 759-783
Persistent link: https://www.econbiz.de/10011622367
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A model of the topology of the bank : firm credit network and its role as channel of contagion
Lux, Thomas - In: Journal of economic dynamics & control 66 (2016), pp. 36-53
Persistent link: https://www.econbiz.de/10011708361
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Modelling fire sale contagion across banks and non-banks
Caccioli, Fabio; Ferrara, Gerardo; Ramadiah, Amanah - 2020
Persistent link: https://www.econbiz.de/10012542197
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Simulating fire-sales in a banking and shadow banking system
Calimani, Susanna; Hałaj, Grzegorz; Żochowski, Dawid - 2017
. Second, higher bank capital requirements may aggravate contagion since they may incentivise banks to hold similar assets, and …
Persistent link: https://www.econbiz.de/10011976961
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Contagion in a network of heterogeneous banks
Gençay, Ramazan; Pang, Hao; Tseng, Michael C.; Xue, Yi - In: Journal of banking & finance 111 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012221100
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Modelling fire sale contagion across banks and non-banks
Caccioli, Fabio; Ferrara, Gerardo; Ramadiah, Amanah - In: Journal of financial stability 71 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014533533
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Contagion and Fire Sales in Banking Networks
Cecchetti, Sara - 2016
The paper develops a theoretical framework to analyze the connection between the structure of banking networks and their resilience to systemic shocks. We base our analysis on the model of interbank contagion proposed by Cifuentes, Ferrucci and Shin (2005), which accounts for the impact of...
Persistent link: https://www.econbiz.de/10012995638