Funding Liquidity Risk in a Quantitative Model of Systemic Stability

By D. Aikman, Piergiorgio Alessandri, Bruno Eklund, Prasanna Gai, S. Kapadia, Elizabeth Martin, Nada Mora, G. Sterne, Matthew Willison. 2009

229 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/19690e1023c1f4dcae4533430b630326a7c5d387

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Citations in the corpus

• An empirical study of the Mexican banking system’s network and its implications for systemic risk (2012, unknown): “There is branch of research in central banks which includes “network models” within a wider simulation framework, as in Boss et al. (2006), Aikman et al. (2009), Alessandri et al. (2009), Márquez-Diez-Canedo and Mart́ınez-Jaramillo (2009), Mart́ınez-Jaramillo et al. (2010b), Mart́ınez-Jaramillo et…”
• Regulatory Capital Charges for Too-Connected-To-Fail Institutions: A Practical Proposal (2010, unknown): “…integrates work on systemic risk indicators based on credit risk models (Chan-Lau and Gravelle, 2005, Huang, Zhou, and Zhu, forthcoming), CoRisk measures (Adrian and Brunnermeier, 2009; Chan-Lau, 2008), and network analysis (Aikman et al, 2009), along the lines proposed in the Basel II framework.”
• Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010, background): “In the wake of the Subprime Mortgage Crisis of 2007, the Bank of England study (Aikman et al., 2009) investigated funding-liquidity risk by integrating balance-sheet-based models of credit and market risk with a network model to evaluate the probability of bank default. Huang, Zhou, and Zhou (2009) ”
• Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk (2014, unknown): “Scientific contributions in this vein include, among others, Elsinger et al. (2006), Aikman et al. (2009) and Gauthier et al. (2012), who rely on a network-based model for the Austrian, British and Canadian banking systems and interbank markets.”
• What do we know about the effects of macroprudential policy (2018, unknown): “Aikman et al (2009) present a Risk Assessment Model for Systemic Institutions (RAMSI) that also includes feedback effects resulting from liquidity risk and embodies an element of procyclicality, which they deem suitable for counterfactual simulations in which regulatory changes – such as varying…”
• Macroprudential Policy - A Literature Review (2012, unknown): “19 Recent work by Aikman et al (2009) is an important exception.”
• Stress-Testing Macro Stress Testing: Does it Live Up to Expectations? (2012, unknown): “The work by the Bank of England discussed above is one such example.”
• Measuring Systemic Risk in the Finance and Insurance Sectors (2010, background): “For example, the Bank of England study (Aikman et al., 2009) investigates funding liquidity risk by integrating balance-sheet-based models of credit and market risk with a network model to evaluate the probability of bank default. Huang, Zhou, and Zhou (2009) propose a measure of systemic risk based”
• Systemic Risk in Financial Networks: A Survey (2020, unknown): “Another direction is to apply models of contagion to observed networks for simulation of risk patterns, an approach increasingly being used by regulatory institutions (Aikman et al. (2009); BCBS (2015)).”