Using Market Information for Banking System Risk Assessment

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Simulation methods to assess the danger of contagion in interbank markets (2011, methodology): “Upper and Worms (2004), Elsinger et al. (2006a) and Degryse and Nguyen (2007) performed robustness checks using net instead of gross exposures and found conflicting evidence on the extent to which netting reduces the possibility for contagion.”
Credit Risk Transfer Activities and Systemic Risk: How Banks Became Less Risky Individually But Posed Greater Risks to the Financial System at the Same Time (2011, unknown): “each other. This may amplify the risk of systemic crisis in the financial system ( Elsinger et al. (2006) ; Acharya and Yorulmazer (2007); Wagner (2008a,c)) since it increases the likelihood that banks incur losses jointly (a situation experienced in the current crisis).”