Forward-looking solvency contagion

DOI10.1016/j.jedc.2019.103755zbMath1425.91439OpenAlexW2974315362MaRDI QIDQ2338548

John Hill, Adam Brinley Codd, Marco Bardoscia, Paolo Barucca

Publication date: 21 November 2019

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

Full work available at URL: https://discovery.ucl.ac.uk/id/eprint/10087373/

zbMATH Keywords

stress testingsystemic riskfinancial contagionfinancial networksmacro-prudential policy

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Credit risk (91G40) Actuarial science and mathematical finance (91G99)

Related Items (7)

An adaptive dynamical model of default contagion ⋮ Dimensional reduction of solvency contagion dynamics on financial networks ⋮ Fair immunization and network topology of complex financial ecosystems ⋮ Optimization of Fire Sales and Borrowing in Systemic Risk ⋮ Interconnected banks and systemically important exposures ⋮ Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities ⋮ SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE

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