Evaluating systemic risk using bank default probabilities in financial networks

DOI10.1016/j.jedc.2016.03.003zbMath1401.91220OpenAlexW2310507296MaRDI QIDQ1656783

Thiago Christiano Silva, Benjamin Miranda Tabak, Solange Maria Guerra, Sergio Rubens Stancato de Souza

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.03.003

zbMATH Keywords

networkinterbank marketsystemic riskfinancial stabilitystress testmacroprudential

Mathematics Subject Classification ID

Related Items (6)

Portfolio optimization with asset-liability ratio regulation constraints ⋮ Do banks change their liquidity ratios based on network characteristics? ⋮ Does the default pecking order impact systemic risk? Evidence from Brazilian data ⋮ Bayesian nonparametric sparse VAR models ⋮ Forward-looking solvency contagion ⋮ The impacts of interest rates on banks' loan portfolio risk-taking

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