Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue

DOI10.1080/14697688.2020.1802054zbMATH Open1479.91432OpenAlexW3084053609MaRDI QIDQ5014206FDOQ5014206

Authors:

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1802054

Recommendations

• Liability concentration and systemic losses in financial networks
• Systemic risk and dynamics of contagion: a duplex inter-bank network
• An optimization view of financial systemic risk modeling: network effect and market liquidity effect
• Rollover risk, network structure and systemic financial crises
• Overlapping portfolios, contagion, and financial stability
• Systemic risk through contagion in a core-periphery structured banking network

zbMATH Keywords

rescuecontagionsystemic riskportfolio overlappingliability network

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The implicit function theorem. History, theory, and applications
• A lattice-theoretical fixpoint theorem and its applications
• Systemic risk in financial systems
• Risk assessment for banking systems
• Contagion in financial networks
• Financial contagion and asset liquidation strategies
• Title not available (Why is that?)
• The joint impact of bankruptcy costs, fire sales and cross-holdings 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
• Overlapping portfolios, contagion, and financial stability
• Portfolio diversification and systemic risk in interbank networks
• Uniqueness of equilibrium in a payment system with liquidation costs
• Systemic risk and dynamics of contagion: a duplex inter-bank network
• Optimal control of interbank contagion under complete information

Cited In (15)

• On some extended mixed integer optimization models of the Eisenberg–Noe model in systemic risk management
• Systemic risk of optioned portfolio: controllability and optimization
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• Systemic risk mitigation in financial networks
• Contagion! Systemic risk in financial networks
• Liability concentration and systemic losses in financial networks
• Measuring financial systemic risk: net liability clearing mechanism and contagion effect
• Research on systemic risk in a triple network
• Contagion and loss redistribution in crypto asset markets
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Analysis of financial contagion based on overlapping portfolios
• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Risk amplification effect of multilayer financial networks: feedback mechanism or cyclic structure?
• How is systemic risk amplified by three typical financial networks
• Multivariate stress scenario selection in interbank networks

This page was built for publication: Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014206)