Systemic Risk in Financial Systems

By Larry Eisenberg, T. Noe. Management Sciences, 2001

1,311 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d60deb4ddc893a68cf0d5c33358c6cf240f88e32

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Citations in the corpus

Securitisation and Financial Stability (2009, neutral): “8See Eisenberg and Noe (2001).”
Simulation methods to assess the danger of contagion in interbank markets (2011, neutral): “Some papers, mostly those using the Eisenberg and Noe (2001) clearing mechanism, specify a liability matrix L, where rows refer to liabilities and columns to assets.”
Deciphering the Liquidity and Credit Crunch 2007-08 (2009, neutral): “11 A number of other papers consider network effects in financial markets. For example, Eisenberg and Noe (2001)”
Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “It unfolds as secondary cascades of credit defaults, triggered by credit defaults between individual counterparties (Eisenberg and Noe 2001).”
Supply chain disruption propagation: a systemic risk and normal accident theory perspective (2018, neutral): “…risk literature, a cyclical linkage can be seen where a problem in node A can lead to a problem in node B where it propagates onto node C. Node C may, in turn, have a feedback effect on node A (Eisenberg and Noe 2001), increasing the risk of self-sustaining disasters (Ackermann et al. 2007).”
Funding Liquidity Risk in a Quantitative Model of Systemic Stability (2009, methodology): “To clear the network following the default of one or more institutions, we use the Eisenberg and Noe (2001) algorithm.”
Does a Central Clearing Counterparty Reduce Counterparty Risk (2011, result): “In particular, as opposed to the joint solvency analysis of Eisenberg and Noe (2001), our netting efficiency measure does not consider the implications of jointly determined defaults in a network of dealers.”
Financial Crises: Theory and Evidence (2009, neutral): “For instance, Eisenberg and Noe (2001) investigate default by firms that are part of a single clearing mechanism.”
Efficiency and Stability of a Financial Architecture with Too-Interconnected-to-Fail Institutions (2017, background): “ing that banks swap their assets, liabilities, or equity according to some rule (Eisenberg and Noe 2001, Upper and Worms 2004, Iori, Jafarey, and Padilla 2006, Wells 2004, Cabrales, Gottardi, and Vega-Redondo 2013, Elliott, Golub, and Jackson 2012). A recent study of contagion by Acemoglu, Ozdaglar,”
RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS (2011, background): “(2.4) The recovery rates R(i ) may be exogenous or, as in Eisenberg and Noe (2001), determined endogenously by redistributing assets of a defaulted entity among debtors, proportionally to their outstanding debt.”
DStress: Efficient Differentially Private Computations on Distributed Data (2017, methodology): “In theory, it would be possible to quantify the risk of such a cascading failure by looking at the graph of financial dependencies between the banks, and in fact economists have already developed a number of metrics [25, 27] that could be used to quantify this “systemic” risk, and to ideally give so”
Continuity properties and sensitivity analysis of parameterized fixed points and approximate fixed points (2016, background): “For the author, the immediate motivation was from financial systemic risk models such as those in [10, 8, 4, 12] where methodology to estimate system parameters are studied in, e.”
Liquidity Risk and Contagion (2005, neutral): “For any given price p, the value (p) is the market-clearing price of the illiquid asset that results when the price of the illiquid asset on the banks’ balance sheets are evaluated at price p.”