Fire sales forensics: measuring endogenous risk
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correlationsdiffusion approximationdiffusion modelsendogenous riskfeedback effectsfinancial contagionfire salesliquidityprice impact
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10) Statistical methods; risk measures (91G70)
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Cites work
- A multifactor volatility Heston model
- Discretization of processes.
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Modeling and Forecasting Realized Volatility
- Multivariate COGARCH(1, 1) processes
- Running for the exit: distressed selling and endogenous correlation in financial markets
- The Wishart autoregressive process of multivariate stochastic volatility
Cited in
(34)- The impact of systemic and illiquidity risk on financing with risky collateral
- Reconstruction methods for networks: the case of economic and financial systems
- Financial contagion and asset liquidation strategies
- Strategic fire-sales and price-mediated contagion in the banking system
- From ecology to finance (and back?): a review on entropy-based null models for the analysis of bipartite networks
- Effect of institutional deleveraging on option valuation problems
- An SPDE model for systemic risk with endogenous contagion
- Capturing deep tail risk via sequential learning of quantile dynamics
- Reconstructing and stress testing credit networks
- The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
- Capital regulation under price impacts and dynamic financial contagion
- The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Institutional investors and the dependence structure of asset returns
- Running for the exit: distressed selling and endogenous correlation in financial markets
- Lost in contagion? Building a liquidation index from covariance dynamics
- When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification
- An optimization view of financial systemic risk modeling: network effect and market liquidity effect
- A liquidation risk adjustment for value at risk and expected shortfall
- Suffocating Fire Sales
- The impact of CoCo bonds on systemic risk considering liquidity risk
- Pricing of debt and equity in a financial network with comonotonic endowments
- Efficient simulation of Lévy-driven point processes
- Clearing in Financial Networks
- Reverse stress testing: Scenario design for macroprudential stress tests
- Trading with the crowd
- Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks
- Effective algorithms for optimal portfolio deleveraging problem with cross impact
- Central limit theorems for price-mediated contagion in stochastic financial networks
- Fire sales, default cascades and complex financial networks
- Playing with fire? A mean-field game analysis of fire sales and systemic risk under regulatory capital constraints
- Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
- Computing systemic risk measures with graph neural networks
- Compound Poisson models for weighted networks with applications in finance
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