The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

From MaRDI portal
Publication:2296100

DOI10.1186/s41546-017-0020-9zbMath1432.91133OpenAlexW2345290176WikidataQ59528583 ScholiaQ59528583MaRDI QIDQ2296100

Stefan Weber, Kerstin Weske

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s41546-017-0020-9




Related Items (30)

Contingent Convertible Obligations and Financial StabilityAn integrated model for fire sales and default contagionEndogenous Inverse Demand FunctionsMarket Efficient Portfolios in a Systemic EconomyHow is systemic risk amplified by three typical financial networksSystemic risk models for disjoint and overlapping groups with equilibrium strategiesInterbank asset-liability networks with fire sale managementPricing of Debt and Equity in a Financial Network with Comonotonic EndowmentsDecentralized payment clearing using blockchain and optimal biddingSystemic Risk in Networks with a Central NodeSystemic cascades on inhomogeneous random financial networksClustering heterogeneous financial networksMeasures of Systemic RiskMultivariate Shortfall Risk Allocation and Systemic RiskA repo model of fire sales with VWAP and LOB pricing mechanismsPrice mediated contagion through capital ratio requirements with VWAP liquidation pricesInterbank Clearing in Financial Networks with Multiple MaturitiesOptimization of Fire Sales and Borrowing in Systemic RiskA unified approach to systemic risk measures via acceptance setsObligations with Physical Delivery in a Multilayered Financial NetworkManaging Default Contagion in Inhomogeneous Financial NetworksOn fairness of systemic risk measuresImpact of contingent payments on systemic risk in financial networksCounterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday TradingCapital regulation under price impacts and dynamic financial contagionSensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank LiabilitiesSYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCEContinuity and sensitivity analysis of parameterized Nash gamesJoint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescueSuffocating Fire Sales



Cites Work


This page was built for publication: The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks