Reconstructing and stress testing credit networks
From MaRDI portal
Publication:2291807
DOI10.1016/J.JEDC.2019.103817OpenAlexW3125965681WikidataQ126620906 ScholiaQ126620906MaRDI QIDQ2291807FDOQ2291807
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
Recommendations
- Network reconstruction with UK CDS trade repository data
- Reconstruction methods for networks: the case of economic and financial systems
- Adjustable network reconstruction with applications to CDS exposures
- Systemic risk contagion in reconstructed financial credit network within banking and firm sectors on DebtRank based model
- A network model of credit risk contagion
Cites Work
- Introduction to algorithms.
- Filling in the blanks: network structure and interbank contagion
- Fear of fire sales, illiquidity seeking, and credit freezes
- Networked relationships in the e-MID interbank market: a trading model with memory
- Bootstrapping topological properties and systemic risk of complex networks using the fitness model
- Quantifying preferential trading in the e-MID interbank market
- Reconstruction methods for networks: the case of economic and financial systems
- Configuring random graph models with fixed degree sequences
- Adjustable network reconstruction with applications to CDS exposures
- Fire sales forensics: measuring endogenous risk
- Liquidity hoarding
- Implementing an “exact” Newton method for separable convex transportation problems
- The impact of systemic and illiquidity risk on financing with risky collateral
- Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
- Analytical maximum-likelihood method to detect patterns in real networks
- Has the banking system become more homogeneous? Evidence from banks' loan portfolios
- Title not available (Why is that?)
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
This page was built for publication: Reconstructing and stress testing credit networks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2291807)
