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Endogenous Banks’ Networks, Cascades and Systemic Risk
(2014-06-01)
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
Systemic Risk and Sovereign Debt in the Euro Area
(2013-12-13)
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign ...
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk
(2014-03-26)
This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ...
Assessing Systemic Fragility – a Probabilistic Perspective
(2014-10-01)
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic ...
Too Interconnected to Fail: A Survey of the Interbank Networks Literature
(2015-10-01)
The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on ...