Assessing interbank contagion using simulated networks

DOI10.1007/s10287-013-0168-4zbMath1282.91399OpenAlexW2270914139MaRDI QIDQ2438067

Grzegorz Hałaj, Christoffer Kok

Publication date: 10 March 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/153939

zbMATH Keywords

bankingnetwork theorysystemic riskinterbank contagionstress-testing

Mathematics Subject Classification ID

Stochastic network models in operations research (90B15) Actuarial science and mathematical finance (91G99)

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Uses Software

• CAViaR

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• A network analysis of the Italian overnight money market
• Network models and financial stability
• On the distribution of the sum of \(n\) non-identically distributed uniform random variables
• Assessing interbank contagion using simulated networks
• Emergence of Scaling in Random Networks
• Systemic Risk in Financial Systems

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