Reconstructing and stress testing credit networks

DOI10.1016/J.JEDC.2019.103817MaRDI QIDQ2291807zbMATH OpenOpenAlexWikidataFDO

Authors Amanah Ramadiah, Fabio Caccioli, Daniel Fricke

Publication date 31 January 2020

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

Full work available at URL https://www.esrb.europa.eu//pub/pdf/wp/esrb.wp84.en.pdf

zbMATH Keywords

stress testingsystemic risknetwork reconstructionaggregation levelbipartite credit network

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• scientific article; zbMATH DE number 1222259 (Why is no real title available?)
• Adjustable network reconstruction with applications to CDS exposures
• Analytical maximum-likelihood method to detect patterns in real networks
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Bootstrapping topological properties and systemic risk of complex networks using the fitness model
• Configuring random graph models with fixed degree sequences
• Fear of fire sales, illiquidity seeking, and credit freezes
• Filling in the blanks: network structure and interbank contagion
• Fire sales forensics: measuring endogenous risk
• Has the banking system become more homogeneous? Evidence from banks' loan portfolios
• Implementing an “exact” Newton method for separable convex transportation problems
• Introduction to algorithms.
• Liquidity hoarding
• Networked relationships in the e-MID interbank market: a trading model with memory
• Quantifying preferential trading in the e-MID interbank market
• Reconstruction methods for networks: the case of economic and financial systems
• The impact of systemic and illiquidity risk on financing with risky collateral

Cited in

(9)

• Systemic risk of portfolio diversification
• Bootstrapping topological properties and systemic risk of complex networks using the fitness model
• Reconstruction methods for networks: the case of economic and financial systems
• Dynamic credit quality evaluation with social network data
• Adjustable network reconstruction with applications to CDS exposures
• Contagion accounting in stress-testing
• Network reconstruction with UK CDS trade repository data
• Fair immunization and network topology of complex financial ecosystems
• Backtesting macroprudential stress tests

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