Contagion accounting in stress-testing

DOI10.1016/j.jedc.2022.104354zbMath1489.91296OpenAlexW4220878997MaRDI QIDQ2136957

Iñaki Aldasoro, Anne-Caroline Hüser, Christoffer Kok

Publication date: 16 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104354

zbMATH Keywords

contagioninterbank networksfire salesoverlapping portfoliosstress-testing

Mathematics Subject Classification ID

Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (1)

Interbank asset-liability networks with fire sale management

Cites Work

• Network models and financial stability
• Overlapping portfolios, contagion, and financial stability
• Reconstructing and stress testing credit networks
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Input-Output Analysis
• Contagion in financial networks
• Relationship Lending in the Interbank Market and the Price of Liquidity
• Input–output-based measures of systemic importance
• Interbank contagion and resolution procedures: inspecting the mechanism
• Distress and default contagion in financial networks
• Network valuation in financial systems

This page was built for publication: Contagion accounting in stress-testing