Systemic Risk in Networks with a Central Node

DOI10.1137/18M1184667zbMath1443.91315OpenAlexW3005470837MaRDI QIDQ5112531

Damir Filipović, Hamed Amini, Andreea Minca

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1184667

zbMATH Keywords

market designcontagionfinancial networksystemic riskcentral nodecredit default swap marketsstar-shaped networks

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (5)

The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks ⋮ Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ Derivatives risks as costs in a one-period network model ⋮ Optimal network compression ⋮ Elicitability and identifiability of set-valued measures of systemic risk

Cites Work

• Credit default swaps and systemic risk
• Axiomatic models of bargaining
• Uniqueness of equilibrium in a payment system with liquidation costs
• Generalized quantiles as risk measures
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Systemic Risk in Financial Systems
• To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
• Hidden Illiquidity with Multiple Central Counterparties
• Measures of Systemic Risk
• Central Clearing Valuation Adjustment
• Interbank Clearing in Financial Networks with Multiple Maturities
• A unified approach to systemic risk measures via acceptance sets

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