Handbook on Systemic Risk: Network Structure and Systemic Risk in Banking Systems

By Rama Cont, A. Moussa, Edson Bastos e Santos. 2013

478 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/923ddad094a44f54dfdff46ecc046a51408b294c

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Citations in the corpus

Systemic risk spillovers in the European banking and sovereign network (2016, unknown): “Finally, Section 5 concludes.”
Fire sales, indirect contagion and systemic stress testing (2017, unknown): “This homogeneity assumption is not supported by empirical studies on market impact Bouchaud (2010); Obizhaeva (2012); Cont et al. (2014), which indicate that market impact varies widely across assets.”
Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “This assumption is reasonable in practice for short term liquidity [71].”
Finding the core: Network structure in interbank markets (2014, unknown): “[12] connect a systemic risk measure from the stress test exercises with local network characteristics, after calculating various properties of the network including the scale-free parameter.”
On dependence consistency of CoVaR and some other systemic risk measures (2012, methodology): “Another approach to the estimation of systemic risk levels via a so-called herd behaviour index (HIX) is taken in Dhaene et al. (2012). Using instantaneous market data, this method has the potential to react immediately when new information enters the financial markets.”
DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk (2012, methodology): “This approach is used in stress-tests carried out in central banks (Cont et al., 2010; Mistrulli, 2011).”
Central clearing of OTC derivatives: Bilateral vs multilateral netting (2013, background): “Trading OTC derivatives through a CCP has some desirable effects: in a bilateral market default of one entity can spread throughout the system leading to a chain of contagious defaults (Cont et al., 2010; Iyer and Peydro, 2011).”
RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS (2011, unknown): “Section 4 illustrates how the resilience measure allows us to quantify and predict the outcome of contagion on one sample network generated from a random network model that mimics the properties of a real interbank exposure network analyzed in Cont et al. (2012). We observe that networks with the sa”
Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “For example, the working paper Crépey (2011), then published in Crépey (2012a) and Crépey (2012b), is a comprehensive treatment.”