Network valuation in financial systems
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(22)- Interconnected banks and systemically important exposures
- NetVIX -- a network volatility index of financial markets
- Contagion accounting in stress-testing
- Impact of contingent payments on systemic risk in financial networks
- Forward-looking solvency contagion
- Leveraging the network: a stress-test framework based on debtrank
- Fair immunization and network topology of complex financial ecosystems
- Counterparty credit limits: the impact of a risk-mitigation measure on everyday trading
- Pricing of debt and equity in a financial network with comonotonic endowments
- Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
- Interbank clearing in financial networks with multiple maturities
- Optimization of fire sales and borrowing in systemic risk
- When does portfolio compression reduce systemic risk?
- Dimensional reduction of solvency contagion dynamics on financial networks
- Interbank asset-liability networks with fire sale management
- Clustering heterogeneous financial networks
- Netting and novation in repo networks
- Dynamic clearing and contagion in financial networks
- Default clearing and ex-ante contagion in financial systems with a two-layer network structure
- Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
- A data-driven econo-financial stress-testing framework to estimate the effect of supply chain networks on financial systemic risk
- Network and eigenvalue analysis of financial transaction networks
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