Market procyclicality and systemic risk

DOI10.1080/14697688.2015.1123817zbMath1400.91640OpenAlexW1710847168MaRDI QIDQ4554211

Paolo Tasca, Stefano Battiston

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/45156/1/MPRA_paper_45156.pdf

zbMATH Keywords

leveragemarket liquiditysystemic riskcontinuous-timefinancial networksprocyclicality

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (9)

The dynamics of the leverage cycle ⋮ The impact of systemic and illiquidity risk on financing with risky collateral ⋮ When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification ⋮ The impact of network inhomogeneities on contagion and system stability ⋮ Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks ⋮ When panic makes you blind: a chaotic route to systemic risk ⋮ Prices, debt and market structure in an agent-based model of the financial market ⋮ Leveraging the network: a stress-test framework based on debtrank ⋮ Macroeconomic and Financial Networks: Review of Some Recent Developments in Parametric and Non-parametric Approaches

Cites Work

• Liaisons dangereuses: increasing connectivity, risk sharing, and systemic risk
• Equilibrium asset pricing with systemic risk
• Network models and financial stability
• Systemic Risk in Financial Systems
• Risk Assessment for Banking Systems
• Contagion in financial networks

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