Forward-looking solvency contagion

DOI10.1016/J.JEDC.2019.103755MaRDI QIDQ2338548zbMATH OpenOpenAlexFDO

Authors Marco Bardoscia, Paolo Barucca, Adam Brinley Codd, John Hill

Publication date 21 November 2019

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

Full work available at URL https://discovery.ucl.ac.uk/id/eprint/10087373/

zbMATH Keywords

financial contagionfinancial networksmacro-prudential policystress testingsystemic risk

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40) Actuarial science and mathematical finance (91G99)

Recommendations

• Distress and default contagion in financial networks
• Risk assessment for banking systems
• Contagion accounting in stress-testing
• Interbank contagion and resolution procedures: inspecting the mechanism
• Can bank-specific variables predict contagion effects?

Cites work

• Assessing interbank contagion using simulated networks
• Contagion in financial networks
• Evaluating systemic risk using bank default probabilities in financial networks
• Filling in the blanks: network structure and interbank contagion
• scientific article; zbMATH DE number 2144815 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Network models and financial stability
• Network valuation in financial systems
• No-arbitrage pricing under systemic risk: accounting for cross-ownership
• Risk assessment for banking systems
• Risk Attribution Using the Shapley Value: Methodology and Policy Applications
• Systemic risk in financial systems
• VALUING CORPORATE DEBT : THE EFFECT OF CROSS-HOLDINGS OF STOCK AND DEBT

Cited in

(10)

• Interconnected banks and systemically important exposures
• Fair immunization and network topology of complex financial ecosystems
• Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
• An adaptive dynamical model of default contagion
• Optimization of fire sales and borrowing in systemic risk
• SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
• Distress and default contagion in financial networks
• Dimensional reduction of solvency contagion dynamics on 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

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