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Elliott, Matthew - 2018

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 …

Persistent link: https://www.econbiz.de/10012938638

The Effect of the Interbank Network Structure on Contagion and Common Shocks

Georg, Co-Pierre - 2016

markets in the short-run only. Comparing different interbank network structures, it is shown that money-center networks are …

Persistent link: https://www.econbiz.de/10012989222

How likely is contagion in financial networks?

Glasserman, Paul; Young, H. Peyton - In: Journal of banking & finance 50 (2015), pp. 383-399

Persistent link: https://www.econbiz.de/10010509515

Concentrated commonalities and systemic risk in China's banking system : a contagion network approach

Shi, Qing; Sun, Xiaoqi; Jiang, Yile - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455031

Contagion and fire sales in banking networks

Cecchetti, Sara; Rocco, Marco; Sigalotti, Laura - 2016

Persistent link: https://www.econbiz.de/10011945858

Privacy-preserving network analytics

Hastings, Marcella; Falk, Brett Hemenway; Tsoukalas, Gerry - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5482-5500

Persistent link: https://www.econbiz.de/10014392936

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

Following the 2008 financial crisis, regulation mandates the clearing of the CDS market through Central Clearing Counter-parties (CCPs). Large CCPs are now designated as 'Global Systemically Important Institutions' (GSIIs), whose unlikely-but-plausible failure threatens global financial market...

Persistent link: https://www.econbiz.de/10012419635

CDS central counterparty clearing liquidation : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2017

Recent regulation mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has rendered the latter a systemically important institution, whose failure poses a serious threat to global financial stability. This work investigates the potential failure of a...

Persistent link: https://www.econbiz.de/10011870658

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...

Persistent link: https://www.econbiz.de/10011381702

Measuring systemic risk and contagion in the European financial network

Tafakori, Laleh; Pourkhanali, Armin; Rastelli, Riccardo - In: Empirical economics : a quarterly journal of the … 63 (2022) 1, pp. 345-389

Persistent link: https://www.econbiz.de/10013440290