Multivariate stress scenario selection in interbank networks

DOI10.1016/J.JEDC.2023.104712MaRDI QIDQ6094494zbMATH OpenOpenAlexFDO

Authors Dohyun Ahn, Kyoung-Kuk Kim, Eunji Kwon

Publication date 14 September 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104712

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• An optimization view of financial systemic risk modeling: network effect and market liquidity effect
• Assessing interbank contagion using simulated networks
• Distress and default contagion in financial networks
• Filling in the blanks: network structure and interbank contagion
• scientific article; zbMATH DE number 1264459 (Why is no real title available?)
• Interbank clearing in financial networks with multiple maturities
• Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
• Liability concentration and systemic losses in financial networks
• Multivariate stress scenarios and solvency
• Network models and financial stability
• Optimal intervention under stress scenarios: a case of the Korean financial system
• Quantitative risk management. Concepts, techniques and tools
• Reverse stress testing: Scenario design for macroprudential stress tests
• Risk-consistent conditional systemic risk measures
• Stress scenario selection by empirical likelihood
• Systemic risk in financial systems
• Systemic risk measures on general measurable spaces
• Systemic risk mitigation in financial networks
• Tail densities of skew-elliptical distributions
• The big-M method with the numerical infinite M
• The formation of a core-periphery structure in heterogeneous financial networks
• To fully net or not to net: adverse effects of partial multilateral netting
• Uniqueness of equilibrium in a payment system with liquidation costs
• What is the minimal systemic risk in financial exposure networks?

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