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Systemic Risk Components in a Network Model of Contagion
6 references·3 citing·32 second hop
Systemic Risk Components in a Network Model of Contagion (2012)Systemic Risk Components in a Network Mod…Macroprudential Regulation and Systemic Capital Requirements (2021)Macroprudential Regulation an…Measuring the systemic importance of interconnected banks (2013)Measuring the systemic import…Counterparty Contagion in Context: Contributions to Systemic Risk (2013)Counterparty Contagion in Con…An Axiomatic Approach to Systemic Risk (2013)An Axiomatic Approach to Syst…Sensitivity analysis of the Eisenberg–Noe model of contagion (2010)Sensitivity analysis of the E…Systemic Risk in Financial Systems (2001)Systemic Risk in Financial Sy…How Likely Is Contagion in Financial Networks? (2015)How Likely Is Contagion in Fi…Measuring and Allocating Systemic Risk (2013)Measuring and Allocating Syst…Systemic risk components and deposit insurance premia (2012)Systemic risk components and …Market Liquidity and Funding Liquidity (2008)Securitized banking and the run on repo (2011)Real estate prices and systemic banking crises (2018)Dynamic clearing and contagion in financial networks (2024)A comparative analysis of current credit risk models (2000)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Systemic Risk Contributions: A Credit Portfolio Approach (2011)On multivariate extensions of Value-at-Risk (2013)Risk Attribution Using the Shapley Value: Methodology and Policy Applications (2015)17. A Value for n-Person Games (1953)Financial Contagion (2000)Macroprudential capital requirements and systemic risk (2012)An empirical study of the Mexican banking system’s network and its implications for systemic risk (2014)An Overview of Macroprudential Policy Tools (2015)Coherent Measures of Risk (1999)Value at Risk (2001)A Bayesian Methodology for Systemic Risk Assessment in Financial Networks (2016)Measures of Systemic Risk (2017)Quantile-Based Risk Sharing (2018)Bank Runs, Deposit Insurance, and Liquidity (1983)Systemic risk in banking ecosystems (2011)Contagion in the interbank market: Funding versus regulatory constraints (2015)Monte Carlo Methods in Financial Engineering (2003)Application of systemic risk measurement methods: A systematic review and meta-analysis using a network approach (2018)Insolvency and contagion in the Brazilian interbank market (2015)Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities (2018)Contagion in financial networks (2010)Financial Networks and Contagion (2014)A Climate Stress-Test of the Financial System (2016)Risk-consistent conditional systemic risk measures (2016)CoMargin (2017)Risk contagion under regular variation and asymptotic tail independence (2017)
this work references cited by second hop

References

  • 2001Systemic Risk in Financial Systems1,364 cited
  • 2013Measuring the systemic importance of interconnected banks296 cited
  • 2013An Axiomatic Approach to Systemic Risk186 cited
  • 2021Macroprudential Regulation and Systemic Capital Requirements77 cited
  • 2010Sensitivity analysis of the Eisenberg–Noe model of contagion40 cited
  • 2013Counterparty Contagion in Context: Contributions to Systemic Risk35 cited

Cited by

  • 2015How Likely Is Contagion in Financial Networks?32 cited
  • 2012Systemic risk components and deposit insurance premia31 cited
  • 2013Measuring and Allocating Systemic Risk31 cited

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