Multivariate stress scenario selection in interbank networks
From MaRDI portal
Publication:6094494
DOI10.1016/j.jedc.2023.104712OpenAlexW4385252592MaRDI QIDQ6094494
Eunji Kwon, Kyoung-Kuk Kim, Dohyun Ahn
Publication date: 14 September 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104712
Cites Work
- Unnamed Item
- Unnamed Item
- Risk-consistent conditional systemic risk measures
- Systemic risk measures on general measurable spaces
- Multivariate stress scenarios and solvency
- Network models and financial stability
- Systemic risk mitigation in financial networks
- Uniqueness of equilibrium in a payment system with liquidation costs
- What is the minimal systemic risk in financial exposure networks?
- The big-M method with the numerical infinite \(M\)
- The formation of a core-periphery structure in heterogeneous financial networks
- Optimal intervention under stress scenarios: a case of the Korean financial system
- Tail densities of skew-elliptical distributions
- Assessing interbank contagion using simulated networks
- Systemic Risk in Financial Systems
- An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect
- Liability Concentration and Systemic Losses in Financial Networks
- To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
- Stress scenario selection by empirical likelihood
- Filling in the blanks: network structure and interbank contagion
- Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
- Interbank Clearing in Financial Networks with Multiple Maturities
- Distress and default contagion in financial networks
- Reverse stress testing: Scenario design for macroprudential stress tests
This page was built for publication: Multivariate stress scenario selection in interbank networks