We present a tractable framework which links realized covariances to liquidation flows and asset liquidities via a feeback loop. We show the identifiability of model parameters which enables to build a dynamic indicator for fund liquidations. At every date t, this indicator that we call the...

We consider a price-mediated contagion framework in which each bank, after an exogenous shock, may have to sell assets in order to comply with regulatory constraints. Interaction between banks takes place only through price impact. We characterize the equilibrium of the strategic deleveraging...

We present an operational framework for quantifying the impact of deleveraging in stress scenarios by financial institutions subject to portfolio constraints. Market impact of portfolio deleveraging in stress scenarios leads to price-mediated contagion across institutions with similar holdings....

We use a spatial epidemic model with demographic and geographic heterogeneity to study the regional dynamics of COVID-19 across 133 regions in England.Our model emphasises the role of variability of regional outcomes and heterogeneity across age groups and geographic locations, and provides a...

We propose two indicators for quantifying the potential exposure of financial institutions to indirect contagion arising from deleveraging of assets in stress scenarios. The first indicator, the Endogenous Risk Index (ERI) captures spillovers across portfolios arising from deleveraging in stress...