A survey of network-based analysis and systemic risk measurement
AR Neveu - Journal of Economic Interaction and Coordination, 2018 - Springer
The financial crisis led to a number of new systemic risk measures and a renewed concern
over the risk of contagion. This paper surveys the systemic risk literature with a focus on the …
over the risk of contagion. This paper surveys the systemic risk literature with a focus on the …
To bail-out or to bail-in? Answers from an agent-based model
Since the beginning of the 2008 financial crisis almost half a trillion euros have been spent
to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions …
to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions …
Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
We propose a market-based framework that exploits time-varying parameter vector
autoregressions to estimate the dynamic network of financial spillover effects. We apply it to …
autoregressions to estimate the dynamic network of financial spillover effects. We apply it to …
[LIVRE][B] Agent-based model of system-wide implications of funding risk
G Hałaj - 2018 - econstor.eu
Liquidity has its systemic aspect that is frequently neglected in research and risk
management applications. We build a model that focuses on systemic aspects of liquidity …
management applications. We build a model that focuses on systemic aspects of liquidity …
Network analysis and calibration of the “leveraged network-based financial accelerator”
In this paper we analyze the network structure that endogenously emerges in the credit
market of the agent-based model of Riccetti et al.(2011), where two kinds of financial …
market of the agent-based model of Riccetti et al.(2011), where two kinds of financial …
System-wide implications of funding risk
G Hałaj - Physica A: Statistical Mechanics and its Applications, 2018 - Elsevier
Funding risk has a systemic aspect that is frequently neglected in research and risk
management applications. We build a model that focuses on systemic consequences of …
management applications. We build a model that focuses on systemic consequences of …
[HTML][HTML] Fair immunization and network topology of complex financial ecosystems
The aftermath of the recent financial crisis has shown how expensive and unfair the
stabilization of financial ecosystems can be. The main cause is the level of complexity of …
stabilization of financial ecosystems can be. The main cause is the level of complexity of …
[PDF][PDF] An empirical study of liquidity risk embedded in banks' asset liability mismatches
G Marozva - Unpublished PhD dissertation. University of South …, 2017 - core.ac.uk
The correct measure and definition of liquidity in finance literature remains an unresolved
empirical issue. The main objective of the present study was to develop, validate and test the …
empirical issue. The main objective of the present study was to develop, validate and test the …
[PDF][PDF] Foundations for economic analysis: the architecture of socioeconomic complexity
B Markey-Towler - 2017 - core.ac.uk
In this work we develop a general theoretical system for economic analysis. We do so by
building a model of the economy as an evolving network formed by the behaviour of …
building a model of the economy as an evolving network formed by the behaviour of …
Liquidity spillover in cryptocurrency markets
Z Ren - Financial Engineering and Risk Management, 2023 - clausiuspress.com
This study will investigate the liquidity spillover effects of five cryptocurrencies: Bitcoin, Ether,
Binance-coin, Ripple, and Tether. Firstly, the researcher utilizes the Amihud illiquidity ratio to …
Binance-coin, Ripple, and Tether. Firstly, the researcher utilizes the Amihud illiquidity ratio to …