Overlapping portfolios, contagion, and financial stability
By Fabio Caccioli, J. D. Farmer, N. Foti, D. Rockmore. 2015
174 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b5b6df18571441885cde68b18739f8deac038952
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Citations in the corpus
- Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, background): “Caccioli et al. (2014) generalize the model of fire-sale dynamics by Cifuentes et al.”
- Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “[29] Fabio Caccioli, J Doyne Farmer, Nick Foti, and Daniel Rockmore.”
- Bank Networks: Contagion, Systemic Risk and Prudential Policy (2017, unknown): “The logic of the tâtonnement processes implies the introduction of fictitious Walrasian auctioneers (see also Cifuentes et al. (2005) or Duffie and Zhu (2011)) which collect individual notional quantities, aggregate them and adjust the relevant price in order to bring the notional aggregate demand a”
- Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem (2018, background): “On the market level, the impact of asset diversification on systemic risk is non-trivial (Battiston et al., 2012a,b; Caccioli et al., 2015).”