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An Integrated Macroprudential Stress Test of Bank Liquidity and Solvency
16 references·0 citing·32 second hopsampled
An Integrated Macroprudential Stress Test of Bank Liquidity and Solvency (2016)An Integrated Macroprudential Stress Test…Contagion in Financial Networks (2016)Contagion in Financial Networ…Systemic Risk and Stability in Financial Networks (2015)Systemic Risk and Stability i…Interbank tiering and money center banks (2014)Interbank tiering and money c…How likely is contagion in financial networks? (2014)How likely is contagion in fi…Stress-testing macro stress testing: Does it live up to expectations? (2013)Stress-testing macro stress t…Financial Networks and Contagion (2012)Financial Networks and Contag…‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk (2012)‘Too interconnected to fail’ …Vulnerable Banks (2011)Vulnerable BanksComplexity, concentration and contagion (2011)Complexity, concentration and…Contagion in financial networks (2010)Contagion in financial networ…Lending relationships in the interbank market (2008)Lending relationships in the …Liquidity Shortages and Banking Crises (2002)Liquidity Shortages and Banki…Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank (2000)Systemic Risk, Interbank Rela…Financial Contagion (2000)Financial ContagionON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Credit Rationing in Markets with Imperfect Information (1981)Market Liquidity and Funding Liquidity (2008)A Macroprudential Approach to Financial Regulation (2011)Financial Intermediation and Delegated Monitoring (1984)Firms, Contracts, and Financial Structure (1995)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Measuring Systemic Risk (2016)Credit Cycles (1997)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Where the Risks Lie: A Survey on Systemic Risk (2015)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)The Network Origins of Aggregate Fluctuations (2012)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)Systemic Risk in Financial Systems (2001)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Systemic risk in banking ecosystems (2011)A Monetary History of the United States 1867-1960 (1964)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*11,230 cited
  • 2000Financial Contagion3,419 cited
  • 2015Systemic Risk and Stability in Financial Networks2,130 cited
  • 2000Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank1,381 cited
  • 2012Financial Networks and Contagion1,270 cited
  • 2010Contagion in financial networks1,163 cited
  • 2002Liquidity Shortages and Banking Crises877 cited
  • 2011Complexity, concentration and contagion825 cited
  • 2014How likely is contagion in financial networks?635 cited
  • 2014Interbank tiering and money center banks612 cited
  • 2016Contagion in Financial Networks559 cited
  • 2011Vulnerable Banks492 cited
  • 2008Lending relationships in the interbank market433 cited
  • 2012‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk309 cited
  • 2013Stress-testing macro stress testing: Does it live up to expectations?295 cited

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