Network valuation in financial systems

DOI10.1111/mafi.12272OpenAlexW2949425067MaRDI QIDQ5855954

Paolo Barucca, Marco Bardoscia, Gabriele Visentin, Marco D'errico, Stefano Battiston, Guido Caldarelli, Fabio Caccioli

Publication date: 23 March 2021

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

Full work available at URL: https://arxiv.org/abs/1606.05164

zbMATH Keywords

credit riskcontagionsystemic riskfinancial networksmark-to-market losses

Mathematics Subject Classification ID

Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (15)

Contagion accounting in stress-testing ⋮ When does portfolio compression reduce systemic risk? ⋮ Dimensional reduction of solvency contagion dynamics on financial networks ⋮ Interbank asset-liability networks with fire sale management ⋮ Pricing of Debt and Equity in a Financial Network with Comonotonic Endowments ⋮ Fair immunization and network topology of complex financial ecosystems ⋮ Clustering heterogeneous financial networks ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ Interbank Clearing in Financial Networks with Multiple Maturities ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Interconnected banks and systemically important exposures ⋮ Impact of contingent payments on systemic risk in financial networks ⋮ Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading ⋮ Forward-looking solvency contagion ⋮ NetVIX -- a network volatility index of financial markets

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