Reverse stress testing: Scenario design for macroprudential stress tests (Q6054451): Difference between revisions

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+Uniqueness of equilibrium in a payment system with liquidation costs
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+Price mediated contagion through capital ratio requirements with VWAP liquidation prices
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+A repo model of fire sales with VWAP and LOB pricing mechanisms
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+Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*
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+Strategic fire-sales and price-mediated contagion in the banking system
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+Overlapping portfolios, contagion, and financial stability
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+RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
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+FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
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+Financial contagion and asset liquidation strategies
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+Systematic scenario selection: stress testing and the nature of uncertainty
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+No-dynamic-arbitrage and market impact
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+Stress scenario selection by empirical likelihood
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+The topology of overlapping portfolio networks
@@ Property / cites work: The topology of overlapping portfolio networks / rank @@
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+Price Manipulation and Quasi-Arbitrage
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+Combinatorial optimization. Theory and algorithms.
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+Convex Analysis
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