Systemic risk models for disjoint and overlapping groups with equilibrium strategies

DOI10.1515/STRM-2022-0004MaRDI QIDQ2679209zbMATH OpenOpenAlexFDO

Authors Yichen Feng, Jean-Pierre Fouque, Ruimeng Hu, Tomoyuki Ichiba

Publication date 19 January 2023

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.00662

zbMATH Keywords

CCPsequilibriumgroupingsystemic risk

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

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Cites work

• A unified approach to systemic risk measures via acceptance sets
• Contagion in financial networks
• Contagion! Systemic risk in financial networks
• Controlling for the use of extreme weights in bank efficiency assessments during the financial crisis
• Credit default swaps and systemic risk
• Interbank clearing in financial networks with multiple maturities
• Measures of systemic risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• On fairness of systemic risk measures
• Systemic risk and optimal fee for central clearing counterparty under partial netting
• Systemic risk in financial systems
• Systemic Risk in Networks with a Central Node
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• To fully net or not to net: adverse effects of partial multilateral netting
• XVA metrics for CCP optimization

Cited in

(2)

• Peer-to-peer multi-risk insurance and mutual aid
• Peer-to-peer risk sharing with an application to flood risk pooling

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