Contagion in financial networks
From MaRDI portal
Publication:3575294
DOI10.1098/rspa.2009.0410zbMath1193.91192OpenAlexW3124498556MaRDI QIDQ3575294
Publication date: 27 July 2010
Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2009.0410
Deterministic network models in operations research (90B10) Actuarial science and mathematical finance (91G99)
Related Items (only showing first 100 items - show all)
Systemic risk in multiplex networks with asymmetric coupling and threshold feedback ⋮ An endogenous model of the credit network ⋮ An integrated model for fire sales and default contagion ⋮ Systemic credit freezes in financial lending networks ⋮ Networked relationships in the e-MID interbank market: a trading model with memory ⋮ Financial regulations and bank credit to the real economy ⋮ Overlapping portfolios, contagion, and financial stability ⋮ Contagion accounting in stress-testing ⋮ Reconstruction methods for networks: the case of economic and financial systems ⋮ Insurance risk analysis of financial networks vulnerable to a shock ⋮ Rollover risk, network structure and systemic financial crises ⋮ Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk ⋮ 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 ⋮ Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Intra-day co-movements of crude oil futures: China and the international benchmarks ⋮ The application of macroprudential capital requirements in managing systemic risk ⋮ Credit risk contagion coupling with sentiment contagion ⋮ Market procyclicality and systemic risk ⋮ Control of Interbank Contagion Under Partial Information ⋮ Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information ⋮ Systemic risk and dynamics of contagion: a duplex inter-bank network ⋮ Can bank-specific variables predict contagion effects? ⋮ Network reconstruction with UK CDS trade repository data ⋮ Systemic risk measures on general measurable spaces ⋮ Monitoring vulnerability and impact diffusion in financial networks ⋮ Incentivizing resilience in financial networks ⋮ Financial fragility and distress propagation in a network of regions ⋮ Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach ⋮ Systemic risk mitigation in financial networks ⋮ Densely Entangled Financial Systems ⋮ Financial network connectedness and systemic risk during the COVID-19 pandemic ⋮ The impact of network inhomogeneities on contagion and system stability ⋮ Systemic risk contagion in reconstructed financial credit network within banking and firm sectors on DebtRank based model ⋮ Impact of the RMB joining in the SDR basket on its internationalization from the perspective of risk spillover ⋮ Transient fluctuation of the prosperity of firms in a network economy ⋮ Network analysis and systemic FX settlement risk ⋮ The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks ⋮ Dynamic interbank network analysis using latent space models ⋮ Liquidity Induced Asset Bubbles via Flows of ELMMs ⋮ Reducing systemic risk in a multi-layer network using reinforcement learning ⋮ Partially overlapping ownership and contagion in financial networks ⋮ Systemic risk models for disjoint and overlapping groups with equilibrium strategies ⋮ A network model of credit risk contagion ⋮ On the fictitious default algorithm in fuzzy financial networks ⋮ What is the minimal systemic risk in financial exposure networks? ⋮ Fair immunization and network topology of complex financial ecosystems ⋮ Action selection in growing state spaces: control of network structure growth ⋮ Leveraged network-based financial accelerator ⋮ \textit{Post-mortem} examination of the international financial network ⋮ The price of complexity in financial networks ⋮ Diffusion and cascading behavior in random networks ⋮ Systemic cascades on inhomogeneous random financial networks ⋮ How big is too big? Critical shocks for systemic failure cascades ⋮ Identifying systemically important financial institutions: a network approach ⋮ Financial contagion and asset liquidation strategies ⋮ Risk-Dependent Centrality in Economic and Financial Networks ⋮ On the computational complexity of measuring global stability of banking networks ⋮ Measuring network systemic risk contributions: a leave-one-out approach ⋮ Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach ⋮ Contagion in Financial Systems: A Bayesian Network Approach ⋮ Optimizing spread dynamics on graphs by message passing ⋮ Contagion in an interacting economy ⋮ Particle systems with singular interaction through hitting times: application in systemic risk modeling ⋮ An evolutionary analysis of growth and fluctuations with negative externalities ⋮ Financial contagion in interbank networks: the case of Erdős-Rényi network model ⋮ Fractional virus epidemic model on financial networks ⋮ Incorporating contagion in portfolio credit risk models using network theory ⋮ Credit default swaps and systemic risk ⋮ Systemic risk in banking networks: advantages of ``tiered banking systems ⋮ An equilibrium model of interbank networks based on variational inequalities ⋮ Contagion and risk-sharing on the inter-bank market ⋮ Heterogeneous beliefs in over-the-counter markets ⋮ Cross-ownership and portfolio choice ⋮ Interbank contagion and resolution procedures: inspecting the mechanism ⋮ The multiplex structure of interbank networks ⋮ Mandatory disclosure and financial contagion ⋮ Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions ⋮ BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY ⋮ Diffusion of Defaults Among Financial Institutions ⋮ Algebraic bounds for heterogeneous site percolation on directed and undirected graphs ⋮ Credit risk contagion based on asymmetric information association ⋮ Risk attribution and interconnectedness in the EU via CDS data ⋮ RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS ⋮ A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades ⋮ The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks ⋮ DOUBLE CASCADE MODEL OF FINANCIAL CRISES ⋮ On fairness of systemic risk measures ⋮ Asset price dynamics in a chartist-fundamentalist model with time delays: a bifurcation analysis ⋮ Complex network construction of Internet finance risk ⋮ Bootstrap percolation in directed inhomogeneous random graphs ⋮ Contagion in networks: stability and efficiency ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ The influence of risk attitude on credit risk contagion -- perspective of information dissemination ⋮ Capital regulation under price impacts and dynamic financial contagion ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ Forward-looking solvency contagion ⋮ The impacts of interest rates on banks' loan portfolio risk-taking ⋮ Statistical arbitrage and risk contagion
Cites Work
This page was built for publication: Contagion in financial networks
