Risk contagion due to overlapping portfolios with leverage decision

DOI10.1142/S0219525921500181MaRDI QIDQ6497599

Xiaoxing Liu, Ziyan Zhu

Publication date: 6 May 2024

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

zbMATH Keywords

systemic riskfire salesleverage decisionliquidity risk spilloveroverlapping portfolio

Mathematics Subject Classification ID

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

Cites Work

• TENET: tail-event driven network risk
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Portfolio diversification and systemic risk in interbank networks
• Risk contagion in inter-firm credit guarantee network
• When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
• Optimization of Fire Sales and Borrowing in Systemic Risk

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