Narrow search
Showing 1 - 10 of 70,889
Cover Image
Systemic Risk, Contagion, and Financial Networks: A Survey
Chinazzi, Matteo; Fagiolo, Giorgio - Laboratory of Economics and Management (LEM), Scuola … - 2013
theoretical work that exploits this concept to explain the sources of contagion and systemic risk in financial markets. We … taxonomize existing contributions according to the impact of network connectivity, bank heterogeneity, existing uncertainty in …
Persistent link: https://www.econbiz.de/10010883450
Cover Image
Systemic risk, contagion, and financial networks : a survey
Chinazzi, Matteo; Fagiolo, Giorgio - 2013
-network structures to calibrate theoretical models. -- Systemic Risk ; Contagion ; Complex Networks ; Resilience ; Connectivity ; Robust … theoretical work that exploits this concept to explain the sources of contagion and systemic risk in financial markets. We … taxonomize existing contributions according to the impact of network connectivity, bank heterogeneity, existing uncertainty in …
Persistent link: https://www.econbiz.de/10009725523
Cover Image
Systemic Risk, Contagion, and Financial Networks : A Survey
Chinazzi, Matteo - 2015
theoretical work that exploits this concept to explain the sources of contagion and systemic risk in financial markets. We … taxonomize existing contributions according to the impact of network connectivity, bank heterogeneity, existing uncertainty in …
Persistent link: https://www.econbiz.de/10013035774
Cover Image
Robust Stochastic Games and Systemic Risk
Huang, Xuancheng - 2017
Interbank borrowing and lending may induce systemic risk into financial markets. A simple model of this is to assume that log-monetary reserves are coupled, and that banks can also borrow/lend from/to a central bank. When all banks optimize their cost of borrowing and lending, this leads to a...
Persistent link: https://www.econbiz.de/10012949299
Cover Image
Contagious defaults in inter-bank networks
Elminejad, Mohammad Ali - 2018
This paper investigates systemic risk and contagion processes in the inter-bank network using network science methods … contagion process in the network regarding changes in the network structure, as well as changes in the characteristics of … accelerate or block contagion proces depending on the structure of the network and seniority of debts in the inter-bank network …
Persistent link: https://www.econbiz.de/10011949714
Cover Image
TENET : Tail-Event driven NETwork risk
Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
Cover Image
Systemic risk for financial institutions of major petroleum-based economies : the role of oil
Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; … - 2017 - This version: June 2017
This paper examines the relationship between systemic risk measures across 546 financial institutions in major petroleum-based economies and oil movements. In this paper, we follow two steps. In the first step, we estimate the delta conditional VaR (CoVaR) for the financial institutions and...
Persistent link: https://www.econbiz.de/10011662132
Cover Image
Time varying quantile Lasso
Zbonakova, Lenka; Härdle, Wolfgang; Wang, Weining - 2016
In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...
Persistent link: https://www.econbiz.de/10011557306
Cover Image
Fire-sale spillovers and systemic risk
Duarte, Fernando; Eisenbach, Thomas M. - 2013
We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...
Persistent link: https://www.econbiz.de/10010202672
Cover Image
Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703