Risk contagion due to overlapping portfolios with leverage decision

DOI10.1142/S0219525921500181MaRDI QIDQ6497599zbMATH OpenFDO

Authors Ziyan Zhu, Xiaoxing Liu

Publication date 6 May 2024

Published in Advances in Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219525921500181

zbMATH Keywords

fire salesleverage decisionliquidity risk spilloveroverlapping portfoliosystemic risk

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Optimization of fire sales and borrowing in systemic risk
• Portfolio diversification and systemic risk in interbank networks
• Risk contagion in inter-firm credit guarantee network
• TENET: tail-event driven network risk
• When micro prudence increases macro risk: the destabilizing effects of financial innovation, leverage, and diversification

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