An integrated model for fire sales and default contagion

DOI10.1007/s11579-020-00273-yzbMath1461.91339OpenAlexW3037590945MaRDI QIDQ829209

Nils Detering, Thilo Meyer-Brandis, Daniel Ritter, Konstantinos D. Panagiotou

Publication date: 5 May 2021

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-020-00273-y

zbMATH Keywords

systemic riskfinancial contagioncapital requirementsdefault contagionasset fire salesprice-mediated contagion

Mathematics Subject Classification ID

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

Cites Work

• Risk-consistent conditional systemic risk measures
• Systemic risk measures on general measurable spaces
• Differential equations for random processes and random graphs
• The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
• Bootstrap percolation in directed inhomogeneous random graphs
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• Contagion! Systemic Risk in Financial Networks
• Systemic Risk in Financial Systems
• Liability Concentration and Systemic Losses in Financial Networks
• Identifying Community Structures from Network Data via Maximum Likelihood Methods
• Contagion in financial networks
• Measures of Systemic Risk
• Multivariate Shortfall Risk Allocation and Systemic Risk
• Managing Default Contagion in Inhomogeneous Financial Networks
• Fast unfolding of communities in large networks
• Core-Periphery Structure in Networks (Revisited)
• A unified approach to systemic risk measures via acceptance sets

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