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Agent-based modeling of systemic risk in the European banking sector
16 references·1 citing·34 second hop
Agent-based modeling of systemic risk in the European banking sector (2018)Agent-based modeling of systemic risk in …Stability analysis of financial contagion due to overlapping portfolios (2014)Stability analysis of financi…Interbank tiering and money center banks (2014)Interbank tiering and money c…The effect of the interbank network structure on contagion and common shocks (2013)The effect of the interbank n…Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Liaisons dangereuses: Increas…Complexity, concentration and contagion (2011)Complexity, concentration and…Simulation methods to assess the danger of contagion in interbank markets (2010)Simulation methods to assess …Contagion in financial networks (2010)Contagion in financial networ…Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Assessing financial contagion…Network models and financial stability (2007)Network models and financial …Liquidity Risk and Contagion (2005)Liquidity Risk and ContagionEstimating bilateral exposures in the German interbank market: Is there a danger of contagion? (2004)Estimating bilateral exposure…Interbank Exposures: Quantifying the Risk of Contagion (2003)Interbank Exposures: Quantify…Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Systemic Risk, Interbank Rela…Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade? (2000)Sulfur Dioxide Control by Ele…Financial Contagion (2000)Financial ContagionContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Network‐based early warning system to predict financial crisis (2019)Network‐based early warning s…Monopolistic Competition with Outside Goods (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)The Role of Demandable Debt in Structuring Optimal Banking Arrangements (1991)Competition and Financial Stability (2004)A theory of systemic risk and design of prudential bank regulation (2009)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Cycles (1997)The Network of Global Corporate Control (2011)Rethinking the financial network (2013)Strategic and operational management of organizational resilience: Current state of research and future directions (2015)Credit Rationing in Markets with Imperfect Information (1981)Market Liquidity and Funding Liquidity (2008)How likely is contagion in financial networks? (2014)Contagion in Financial Networks (2016)Does deposit insurance increase banking system stability? An empirical investigation (2002)Where the Risks Lie: A Survey on Systemic Risk (2015)Systemic Risk in Financial Systems (2001)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)A model of reserves, bank runs, and deposit insurance (1980)Distinguishing Panics and Information-based Bank Runs: Welfare and Policy Implications (1988)Risk Assessment for Banking Systems (2006)Liquidity Shortages and Banking Crises (2002)Too many to fail—An analysis of time-inconsistency in bank closure policies (2006)A Monetary History of the United States 1867-1960 (1964)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Systemic Risk and Stability in Financial Networks (2015)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Contagion as a Wealth Effect (2001)A Rational Expectations Model of Financial Contagion (2002)Can environmental innovation facilitate carbon emissions reduction? Evidence from China (2016)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2000Financial Contagion3,393 cited
  • 2000Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank1,381 cited
  • 2000Sulfur Dioxide Control by Electric Utilities: What Are the Gains from Trade?1,186 cited
  • 2010Contagion in financial networks1,143 cited
  • 2005Liquidity Risk and Contagion879 cited
  • 2007Network models and financial stability850 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2012Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk734 cited
  • 2003Interbank Exposures: Quantifying the Risk of Contagion666 cited
  • 2004Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?666 cited
  • 2010Simulation methods to assess the danger of contagion in interbank markets613 cited
  • 2014Interbank tiering and money center banks578 cited
  • 2010Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns573 cited
  • 2014Stability analysis of financial contagion due to overlapping portfolios384 cited

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  • 2013The effect of the interbank network structure on contagion and common shocks383 cited
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    • 2019Network‐based early warning system to predict financial crisis21 cited