Contagion! Systemic risk in financial networks
DOI10.1007/978-3-319-33930-6zbMATH Open1369.91005OpenAlexW2667583655MaRDI QIDQ2810033FDOQ2810033
Authors: T. R. Hurd 
Publication date: 30 May 2016
Published in: SpringerBriefs in Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-33930-6
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Random graphs (graph-theoretic aspects) (05C80) Applications of branching processes (60J85) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic network models in operations research (90B15) Actuarial science and mathematical finance (91G99)
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- Modeling lifetime expected credit losses on bank loans
- Architectures engender crises: the emergence of power laws in social networks
- Systemic risk governance in a dynamical model of a banking system
- Contagion and optimization in financial markets
- The rise and fall of trust networks
- A liquidation risk adjustment for value at risk and expected shortfall
- Robust and sparse banking network estimation
- Network tail risk estimation in the European banking system
- Interbank clearing in financial networks with multiple maturities
- Bank panics and fire sales, insolvency and illiquidity
- On fairness of systemic risk measures
- Construction of directed assortative configuration graphs
- The construction and properties of assortative configuration graphs
- Impact of contingent payments on systemic risk in financial networks
- Systemic cascades on inhomogeneous random financial networks
- Financial and macroeconomic connectedness. A network approach to measurement and monitoring
- Suffocating Fire Sales
- Financial network connectedness and systemic risk during the COVID-19 pandemic
- A Dynamic Contagion Risk Model with Recovery Features
- Brief synopsis of the scientific career of T. R. Hurd
- Information-based trading
- Netting and novation in repo networks
- Systemic perspective of term risk in bank funding markets
- Modern monetary circuit theory, stability of interconnected banking network, and balance sheet optimization for individual banks
- A unified approach to systemic risk measures via acceptance sets
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- Financial asset bubbles in banking networks
- On the fictitious default algorithm in fuzzy financial networks
- Managing Default Contagion in Inhomogeneous Financial Networks
- Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
- Dynamics of diffusion on monoplex and multiplex networks: a message-passing approach
- A financial systemic risk model and empirical analysis based on complex network method
- A dynamic network model to measure exposure concentration in the Austrian interbank market
- Multivariate systemic optimal risk transfer equilibrium
- Handbook on systemic risk
- Measures of systemic risk
- Contagion in financial systems: a Bayesian network approach
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