The recent financial crisis has focused attention on identifying and measuring systemic risk. In this paper, we propose a novel approach to estimate the portfolio composition of banks as function of daily interbank trades and stock returns. While banks’ assets are reported to regulators...

Not long ago securities were traded by human traders in face-to-face markets. The ecosystem of an open outcry market was well-known, visible to a human eye, and rigidly prescribed. Now trading is increasingly done in anonymous electronic markets where traders do not have designated functions or...

We create a quality value chain network concept to analyze the impact of supply chain quality (SCQ) on the customer lifetime value (CLV). We apply our framework to a rich dataset from a major restaurant chain utilizing text analysis of the complaints to measure SCQ, a two-stage least squares...

We study the motivations of interbank market traders around the 2007-09 subprime crisis with a new statistic that reveals the underlying urgency to borrow overnight funds, which we call Trading Urgency. We find that Trading Urgency leads sovereign CDS spreads and reacts to non-standard central...

We study the behavior of the interbank market before, during and after the 2008 financial crisis. Leveraging recent advances in network analysis, we study two network structures, a correlation network based on publicly traded bank returns, and a physical network based on interbank lending...