Risk Assessment for Banking Systems

Cited In (79)

Optimization of Fire Sales and Borrowing in Systemic Risk
Impact of compensation structure and managerial incentives on bank risk taking
Identifying systemically important financial institutions: a network approach
Financial contagion in banking networks with community structure
Trade credit contracting under asymmetric credit default risk: screening, checking or insurance
On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management
Filling in the blanks: network structure and interbank contagion
Systemic risk measures on general measurable spaces
Systemic risk components and deposit insurance premia
Criticality in a model of banking crises
Contagion and risk-sharing on the inter-bank market
The network structure and systemic risk in the global non-life insurance market
Resilience to contagion in financial networks
Overlapping portfolios, contagion, and financial stability
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
Risk-Dependent Centrality in Economic and Financial Networks
Strategic fire-sales and price-mediated contagion in the banking system
Stability of the world trade web over time -- an extinction analysis
Adjustable network reconstruction with applications to CDS exposures
Network tail risk estimation in the European banking system
Contagion accounting in stress-testing
Functional correlation approach to operational risk in banking organizations
Banking regulation and systemic risk
Connectedness of Markets with Heterogeneous Agents and the Information Cascades
A proximity based macro stress testing framework
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
Leveraging the network: a stress-test framework based on debtrank
The impact of network inhomogeneities on contagion and system stability
Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
Do banks change their liquidity ratios based on network characteristics?
Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes
Portfolio diversification and systemic risk in interbank networks
Default ambiguity: finding the best solution to the clearing problem
Evaluating systemic risk using bank default probabilities in financial networks
Contagion in Financial Systems: A Bayesian Network Approach
SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
Impact of contingent payments on systemic risk in financial networks
An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
Liability Concentration and Systemic Losses in Financial Networks
A time series analysis of financial fragility in the UK banking system
Network models and financial stability
Systemic risk in banking networks: advantages of ``tiered banking systems
Network interdependence and optimization of bank portfolios from developed and emerging Asia Pacific countries
Obligations with Physical Delivery in a Multilayered Financial Network
The price of complexity in financial networks
A Dynamic Contagion Risk Model with Recovery Features
Does risk aversion affect bank output loss? The case of the eurozone
A simple model of bank bankruptcies
Forward-looking solvency contagion
Sharp asymptotics for large portfolio losses under extreme risks
A nonlinear semidefinite optimization relaxation for the worst-case linear optimization under uncertainties
Can bank-specific variables predict contagion effects?
Market procyclicality and systemic risk
Financial networks and interconnectedness in an advanced emerging market economy
What is the minimal systemic risk in financial exposure networks?
Network topology and interbank credit risk
Risk trading, network topology and banking regulation
BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY
Backtesting macroprudential stress tests
Mathematical modeling and analysis of insolvency contagion in an interbank network
Completeness, interconnectedness and distribution of interbank exposures—a parameterized analysis of the stability of financial networks
Financial contagion and asset liquidation strategies
Defaulting firms and systemic risks in financial networks: a normative approach
Risk analysis with contractual default. Does covenant breach matter?
Network and eigenvalue analysis of financial transaction networks
Optimal clearing payments in a financial contagion model
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
An algorithm of propagation in weighted directed graphs with applications to economics and finance
Social Networks from a Designer’s Viewpoint
Estimating the money market microstructure with negative and zero interest rates
Title not available (Why is that?)
Seniorities and minimal clearing in financial network games
Measuring financial systemic risk: net liability clearing mechanism and contagion effect
Research on systemic risk in a triple network
Efficient simulation of Lévy-driven point processes
Diffusion of Defaults Among Financial Institutions
Fair immunization and network topology of complex financial ecosystems
Does the default pecking order impact systemic risk? Evidence from Brazilian data
A dynamic network model to measure exposure concentration in the Austrian interbank market

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