Systemic Risk in Financial Systems
From MaRDI portal
Publication:3114673
DOI10.1287/mnsc.47.2.236.9835zbMath1232.91688WikidataQ56446506 ScholiaQ56446506MaRDI QIDQ3114673
Larry Eisenberg, Thomas H. Noe
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.47.2.236.9835
91G40: Credit risk
Related Items
Payment scheduling in the interval debt model, Research on systemic risk in a triple network, Multi-period liability clearing via convex optimal control, Clustering heterogeneous financial networks, FINANCIAL CONTAGION IN LARGE, INHOMOGENEOUS STOCHASTIC INTERBANK NETWORKS, Unnamed Item, Market procyclicality and systemic risk, Elimination of systemic risk in financial networks by means of a systemic risk transaction tax, Systemic risk and dynamics of contagion: a duplex inter-bank network, Can bank-specific variables predict contagion effects?, Financial networks and interconnectedness in an advanced emerging market economy, Network reconstruction with UK CDS trade repository data, Measures of Systemic Risk, Network topology of the interbank market, Contagion in Financial Systems: A Bayesian Network Approach, Multivariate Shortfall Risk Allocation and Systemic Risk, Risk trading, network topology and banking regulation, Filling in the blanks: network structure and interbank contagion, Interbank contagion and resolution procedures: inspecting the mechanism, Modelling the emergence of the interbank networks, BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY, Diffusion of Defaults Among Financial Institutions, Managing Default Contagion in Inhomogeneous Financial Networks, Complexity Results and Effective Algorithms for Worst-Case Linear Optimization Under Uncertainties, Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue, Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing, Semi-analytical solution of a McKean–Vlasov equation with feedback through hitting a boundary, Macroeconomic and Financial Networks: Review of Some Recent Developments in Parametric and Non-parametric Approaches, Suffocating Fire Sales, Short Communication: Clearing Prices under Margin Calls and the Short Squeeze, Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses, MODELING LIFETIME EXPECTED CREDIT LOSSES ON BANK LOANS, The impact of CoCo bonds on systemic risk considering liquidity risk, ‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets, Market Efficient Portfolios in a Systemic Economy, A Dynamic Contagion Risk Model with Recovery Features, Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments, Network Effects in Default Clustering for Large Systems, Systemic Risk in Networks with a Central Node, Rare-Event Simulation for Distribution Networks, Financial Contagion through Asset Price and Interbank Networks, Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems, Efficient simulation of Lévy-driven point processes, Systemic illiquidity in the interbank network, Obligations with Physical Delivery in a Multilayered Financial Network, Financial Asset Bubbles in Banking Networks, Clearing in Financial Networks, Cross-ownership as a structural explanation for over- and underestimation of default probability, Completeness, interconnectedness and distribution of interbank exposures—a parameterized analysis of the stability of financial networks, Systemic Risk in Interbanking Networks, Central Clearing Valuation Adjustment, Settlement Fund Circulation Problem, NO‐ARBITRAGE PRICING UNDER SYSTEMIC RISK: ACCOUNTING FOR CROSS‐OWNERSHIP, Interbank Clearing in Financial Networks with Multiple Maturities, Optimization of Fire Sales and Borrowing in Systemic Risk, Transition Probability of Brownian Motion in the Octant and its Application to Default Modelling, A unified approach to systemic risk measures via acceptance sets, SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE, A novel algorithm for clearing financial obligations between companies - An application within the Romanian Ministry of economy, Equilibria and Systemic Risk in Saturated Networks, Contingent Convertible Obligations and Financial Stability, Contagion and loss redistribution in crypto asset markets, When does portfolio compression reduce systemic risk?, Systemic-risk and evolutionary stable strategies in a financial network, Remarks on solidarity in bankruptcy problems when agents merge or split, Interbank asset-liability networks with fire sale management, Clearing payments in dynamic financial networks, A MULTILAYER VIEW OF SYSTEMIC IMPORTANCE AND AGGREGATE FLUCTUATIONS, On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management, Intermediaries' substitutability and financial network resilience: a hyperstructure approach, Systemic risk of optioned portfolio: controllability and optimization, Multivariate stress scenario selection in interbank networks, Financial networks with singleton liability priorities, Optimal network compression, Decentralized payment clearing using blockchain and optimal bidding, Does the default pecking order impact systemic risk? Evidence from Brazilian data, On the resolution of cross-liabilities, Proportional clearing mechanisms in financial systems: an axiomatic approach, Transfers and resilience in economic networks, Network versus portfolio structure in financial systems, Financial networks with singleton liability priorities, Strategic default in financial networks, Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods, Seniorities and minimal clearing in financial network games, An effective global algorithm for worst-case linear optimization under polyhedral uncertainty, Fair immunization and network topology of complex financial ecosystems, Systemic cascades on inhomogeneous random financial networks, RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS, Efficient solution of structural default models with correlated jumps and mutual obligations, DOUBLE CASCADE MODEL OF FINANCIAL CRISES, MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS, Systemic risk components and deposit insurance premia, The price of complexity in financial networks, Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities, Preface to the Special Issue on Systemic Risk: Models and Mechanisms, An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect, Inhomogeneous Financial Networks and Contagious Links, Liability Concentration and Systemic Losses in Financial Networks, To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting, Risk in a Large Claims Insurance Market with Bipartite Graph Structure, Optimizing spread dynamics on graphs by message passing, OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS, A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning, Control of Interbank Contagion Under Partial Information, Risk-consistent conditional systemic risk measures, TENET: tail-event driven network risk, The network structure and systemic risk in the global non-life insurance market, Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk, Systemic risk measures on general measurable spaces, Credit risk in general equilibrium, A nonlinear semidefinite optimization relaxation for the worst-case linear optimization under uncertainties, Network topology and interbank credit risk, Sensitivity analysis of the Eisenberg-Noe model of contagion, Dynamic contract design for systemic cyber risk management of interdependent enterprise networks, Preface to the special issue on systemic risk and financial networks, How safe are central counterparties in credit default swap markets?, An integrated model for fire sales and default contagion, Compound Poisson models for weighted networks with applications in finance, Systemic credit freezes in financial lending networks, Systemic risk in a unifying framework for cascading processes on networks, Network and eigenvalue analysis of financial transaction networks, Network models and financial stability, Structural default model with mutual obligations, Price dynamics, financial fragility and aggregate volatility, Reconstruction methods for networks: the case of economic and financial systems, The application of macroprudential capital requirements in managing systemic risk, On solving mutual liability problems, Monitoring vulnerability and impact diffusion in financial networks, Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes, Incentivizing resilience in financial networks, Portfolio diversification and systemic risk in interbank networks, Evaluating systemic risk using bank default probabilities in financial networks, Systemic risk mitigation in financial networks, Credit risk transfer in SME loan guarantee networks, Mathematical modeling and analysis of insolvency contagion in an interbank network, A regulation model for the solvency of banking system: based on the pinning control theory of complex network, Financial contagion and asset liquidation strategies, Measuring network systemic risk contributions: a leave-one-out approach, Risk contagion under regular variation and asymptotic tail independence, Sharing market access in buyer-seller networks, Strategic fire-sales and price-mediated contagion in the banking system, Tackling information asymmetry in networks: a new entropy-based ranking index, From ecology to finance (and back?): a review on entropy-based null models for the analysis of bipartite networks, Uniqueness of equilibrium in a payment system with liquidation costs, The bankruptcy problem in financial networks, Optimization in curbing risk contagion among financial institutes, Contagion and risk-sharing on the inter-bank market, Systemic risk shifting in financial networks, Cross-ownership and portfolio choice, An SPDE model for systemic risk with endogenous contagion, Adjustable network reconstruction with applications to CDS exposures, Reconstructing the topology of financial networks from degree distributions and reciprocity, A flow network analysis of direct balance-sheet contagion in financial networks, Stochastic modeling and fair valuation of drawdown insurance, Set-valued risk measures as backward stochastic difference inclusions and equations, Elicitability and identifiability of set-valued measures of systemic risk, Mandatory disclosure and financial contagion, Addressing systemic risk using contingent convertible debt -- a network analysis, An efficient global algorithm for worst-case linear optimization under uncertainties based on nonlinear semidefinite relaxation, Simulating liquidity stress in the derivatives market, Optimal capital structure and simultaneous bankruptcy of firms in corporate networks, Interconnected banks and systemically important exposures, Implicit government guarantees and the externality of portfolio diversification: a complex network approach, Contagion in networks: stability and efficiency, Financial replicator dynamics: emergence of systemic-risk-averting strategies, Continuity and sensitivity analysis of parameterized Nash games, The impacts of interest rates on banks' loan portfolio risk-taking, Financial contagion in banking networks with community structure, Optimal intervention in economic networks using influence maximization methods, A maximum principle for a stochastic control problem with multiple random terminal times, Backtesting macroprudential stress tests, Contagion accounting in stress-testing, Network model of credit risk contagion in the interbank market by considering bank runs and the fire sale of external assets, Insurance risk analysis of financial networks vulnerable to a shock, Default ambiguity: finding the best solution to the clearing problem, On the fictitious default algorithm in fuzzy financial networks, What is the minimal systemic risk in financial exposure networks?, A lending scheme for a system of interconnected banks with probabilistic constraints of failure, Defaulting firms and systemic risks in financial networks: a normative approach, Diversification and systemic risk in the banking system, A repo model of fire sales with VWAP and LOB pricing mechanisms, Network tail risk estimation in the European banking system, The formation of a core-periphery structure in heterogeneous financial networks, Filtering for risk assessment of interbank network, Optimal intervention under stress scenarios: a case of the Korean financial system, The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks, Dual representations for systemic risk measures, On fairness of systemic risk measures, Settlement fund circulation problem, Impact of contingent payments on systemic risk in financial networks, Capital regulation under price impacts and dynamic financial contagion, Forward-looking solvency contagion, Systemic risk in multiplex networks with asymmetric coupling and threshold feedback, The impact of network inhomogeneities on contagion and system stability, The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks, Optimal targeting strategies in a network under complementarities, Systemic risk and optimal fee for central clearing counterparty under partial netting, Assessing interbank contagion using simulated networks, How to measure interconnectedness between banks, insurers and financial conglomerates, Leveraging the network: a stress-test framework based on debtrank, Reducing systemic risk in a multi-layer network using reinforcement learning, How is systemic risk amplified by three typical financial networks, Systemic risk models for disjoint and overlapping groups with equilibrium strategies, Identification of systemically important financial institutions in a multiplex financial network: a multi-attribute decision-based approach