Systemic Risk in Networks with a Central Node

DOI10.1137/18M1184667zbMath1443.91315OpenAlexW3005470837MaRDI QIDQ5112531

Damir Filipović, Hamed Amini, Andreea Minca

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1184667

zbMATH Keywords

market designcontagionfinancial networksystemic riskcentral nodecredit default swap marketsstar-shaped networks

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites Work

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• Generalized quantiles as risk measures
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• Systemic Risk in Financial Systems
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• Measures of Systemic Risk
• Central Clearing Valuation Adjustment
• Interbank Clearing in Financial Networks with Multiple Maturities
• A unified approach to systemic risk measures via acceptance sets