The decline of solvency contagion risk
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- Luitgard Anna Maria Veraart, 2020. "Distress and default contagion in financial networks," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 705-737, July.
- Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017.
"Models of Financial Stability and their Application in Stress Tests,"
Working Papers on Finance
1805, University of St. Gallen, School of Finance.
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- Carro, Adrian & Stupariu, Patricia, 2024. "Uncertainty, non-linear contagion and the credit quality channel: An application to the Spanish interbank market," Journal of Financial Stability, Elsevier, vol. 71(C).
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- Abduraimova, Kumushoy & Nahai-Williamson, Paul, 2021. "Solvency distress contagion risk: network structure, bank heterogeneity and systemic resilience," Bank of England working papers 909, Bank of England.
- Chen, Yu & Jin, Shuyue & Wang, Xiasi, 2021. "Solvency contagion risk in the Chinese commercial banks’ network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
- Maxim Bichuch & Zachary Feinstein, 2020. "A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms," Papers 2005.05364, arXiv.org, revised Mar 2021.
- Roncoroni, Alan & Battiston, Stefano & Escobar-Farfán, Luis O.L. & Martinez-Jaramillo, Serafin, 2021. "Climate risk and financial stability in the network of banks and investment funds," Journal of Financial Stability, Elsevier, vol. 54(C).
- Maxim Bichuch & Zachary Feinstein, 2018. "Optimization of Fire Sales and Borrowing in Systemic Risk," Papers 1802.04232, arXiv.org, revised Oct 2018.
- Coen, Jamie & Lepore, Caterina & Schaanning, Eric, 2019. "Taking regulation seriously: fire sales under solvency and liquidity constraints," Bank of England working papers 793, Bank of England.
- Zachary Feinstein & Weijie Pang & Birgit Rudloff & Eric Schaanning & Stephan Sturm & Mackenzie Wildman, 2017. "Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities," Papers 1708.01561, arXiv.org, revised Oct 2018.
- Shuyue Jin & Lei Song & Lei Shu & Qifeng Gao & Yu Chen, 2024. "Systemic risk in Chinese interbank lending networks: insights from short-term and long-term lending data," Empirical Economics, Springer, vol. 67(6), pages 2539-2564, December.
- Maxim Bichuch & Nils Detering, 2022. "Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective," Papers 2201.12731, arXiv.org, revised Mar 2024.
- Veraart, Luitgard A. M., 2020. "Distress and default contagion in financial networks," LSE Research Online Documents on Economics 101905, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
Financial networks; systemic risk; financial contagion; macroprudential policy; stress testing;All these keywords.
JEL classification:
- D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2017-07-09 (Banking)
- NEP-CBA-2017-07-09 (Central Banking)
- NEP-CFN-2017-07-09 (Corporate Finance)
- NEP-RMG-2017-07-09 (Risk Management)
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