Asset commonality, debt maturity and systemic risk.

By Franklin Allen, Ana Babus, Elena Carletti. 2012

436 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f512ddb07acbad34425cf9c11ac3d6df3cbf723c

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Citations in the corpus

Too Interconnected to Fail: A Survey of the Interbank Networks Literature (2015, background): “Allen et al. (2012) develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk.”
Systemic Risk in Financial Networks: A Survey (2020, positive): “This can be tracked via a network in which a (weighted) link between two institutions captures the correlation between their portfolios (Acharya & Yorulmazer (2007); Allen et al. (2012); Diebold & Yılmaz (2014); Cabrales et al. (2017)).”
Cross-Border Interbank Networks, Banking Risk and Contagion (2015, background): “From the related theoretical literature it is well-known that the network topology has an important effect on the probability of contagion (Allen and Gale, 2000; Allen et al., 2012; Gai and Kapadia, 2010).”
Rollover Risk, Network Structure and Systemic Financial Crises (2012, positive): “The focus of analytical models involving a small number of banks follows in the seminal footsteps of Allen and Gale (2000) who model contagion in a four-bank system.”
Transmission channels of systemic risk and contagion in the European financial network (2015, positive): “Allen et al. (2009), Brunnermeier and Pederson (2009), and Allen et al. (2011), use bilateral exposures in the interbank market to observe that a strongly connected banking network mitigates systemic risk by transferring the proportion of losses from one bank’s portfolio to more banks through…”
Where the Risks Lie: A Survey on Systemic Risk (2017, neutral): “23 See Allen et al. (2015) for a recent analysis of this trade-off, in the context of government guarantees to banks in general. 24 See O’Hara and Shaw (1990) for early evidence on this problem during the Continental Illinois crisis. Oliveira, Schiozer, and Barros (2015) study the impact of being pe”
Syndication, Interconnectedness, and Systemic Risk (2018, neutral): “5 Fire-sale amplifications are also discussed in, for example, Kiyotaki and Moore (1997), Brunnermeier and Pedersen (2009), Allen et al. (2012a) and Greenwood et al. (2015). index in each month and document that the benchmark equallyweighted interconnectedness index is persistently lower compared…”