Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperContagion in Financial Networks: A Threat Index
Author
Abstract
Suggested Citation
DOI: 10.1287/mnsc.2016.2592
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01630616
Download full text from publisher
Other versions of this item:
- Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," Management Science, INFORMS, vol. 64(2), pages 955-970, February.
- Gabrielle Demange, 2018. "Contagion in Financial Networks: A Threat Index," PSE-Ecole d'économie de Paris (Postprint) halshs-01630616, HAL.
- Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," PSE Working Papers halshs-00662513, HAL.
- Demange, Gabrielle, 2012. "Contagion in financial networks: A threat index," CEPR Discussion Papers 8793, C.E.P.R. Discussion Papers.
- Gabrielle Demange, 2015. "Contagion in Financial Networks: A Threat Index," CESifo Working Paper Series 5307, CESifo.
- Gabrielle Demange, 2016. "Contagion in financial networks: a threat index," Working Papers halshs-00662513, HAL.
References listed on IDEAS
- C. Gouriéroux & J.‐C. Héam & A. Monfort, 2012.
"Bilateral exposures and systemic solvency risk,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1273-1309, November.
- C. Gouriéroux & J.-C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics, Canadian Economics Association, vol. 45(4), pages 1273-1309, November.
- Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
- Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2015.
"Systemic Risk and Stability in Financial Networks,"
American Economic Review, American Economic Association, vol. 105(2), pages 564-608, February.
- Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015.
"Centrality-Based Capital Allocations,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(3), pages 329-377, June.
- Mr. Adrian Alter & Ben Craig & Peter Raupach, 2014. "Centrality-based Capital Allocations," IMF Working Papers 2014/237, International Monetary Fund.
- Adrian Alter & Ben R. Craig & Peter Raupach, 2015. "Centrality-based Capital Allocations," Working Papers (Old Series) 1501, Federal Reserve Bank of Cleveland.
- Alter, Adrian & Craig, Ben & Raupach, Peter, 2015. "Centrality-based capital allocations," Discussion Papers 03/2015, Deutsche Bundesbank.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017.
"Measuring Systemic Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
- Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
- Douglas W. Diamond & Raghuram G. Rajan, 2011. "Fear of Fire Sales, Illiquidity Seeking, and Credit Freezes," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(2), pages 557-591.
- Viral V. Acharya & Tanju Yorulmazer, 2008.
"Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2705-2742, November.
- Viral Acharya & Tanju Yorulmazer, 2007. "Cash-in-the-market pricing and optimal resolution of bank failures," Bank of England working papers 328, Bank of England.
- Coralio Ballester & Antoni Calvó-Armengol & Yves Zenou, 2006.
"Who's Who in Networks. Wanted: The Key Player,"
Econometrica, Econometric Society, vol. 74(5), pages 1403-1417, September.
- Coralio Ballester & Antoni Calvó-Armengol & Yves Zenou, 2004. "Who's Who in Networks. Wanted: The Key Player," Working Papers 178, Barcelona School of Economics.
- Coralio Ballester & Antoni Calvo-Armengol & Yves Zenou, 2005. "Who's Who in Networks. Wanted: the Key Player," NajEcon Working Paper Reviews 666156000000000586, www.najecon.org.
- Zenou, Yves & Calvó-Armengol, Antoni & Ballester, Coralio, 2005. "Who?s Who in Networks. Wanted: The Key Player," CEPR Discussion Papers 5329, C.E.P.R. Discussion Papers.
- Freixas, Xavier & Parigi, Bruno M & Rochet, Jean-Charles, 2000.
"Systemic Risk, Interbank Relations, and Liquidity Provision by the Central Bank,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(3), pages 611-638, August.
- Xavier Freixas & Bruno Parigi & Jean-Charles Rochet, 2000. "Systemic risk, interbank relations, and liquidity provision by the central bank," Proceedings, Federal Reserve Bank of Cleveland, pages 611-640.
- Xavier Freixas & Bruno Parigi & Jean Charles Rochet, 1998. "Systemic risk, interbank relations and liquidity provision by the Central Bank," Economics Working Papers 440, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 1999.
- Freixas, Xavier & Parigi, Bruno & Rochet, Jean-Charles, 1999. "Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank," CEPR Discussion Papers 2325, C.E.P.R. Discussion Papers.
- Dong Beom Choi, 2014.
"Heterogeneity and Stability: Bolster the Strong, Not the Weak,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1830-1867.
- Dong Beom Choi, 2013. "Heterogeneity and stability: bolster the strong, not the weak," Staff Reports 637, Federal Reserve Bank of New York.
- Upper, Christian & Worms, Andreas, 2004.
"Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?,"
European Economic Review, Elsevier, vol. 48(4), pages 827-849, August.
- Christian Upper & Andreas Worms, 2001. "Estimating bilateral exposures in the German interbank market: is there a danger of contagion?," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 211-229, Bank for International Settlements.
- Upper, Christian & Worms, Andreas, 2002. "Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?," Discussion Paper Series 1: Economic Studies 2002,09, Deutsche Bundesbank.
- Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
- Hans Degryse & Grégory Nguyen, 2004.
"Interbank exposures: an empirical examination of systemic risk in the Belgian banking system,"
Working Paper Research
43, National Bank of Belgium.
- Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Other publications TiSEM 24d7f8a9-0f7c-411a-843c-c, Tilburg University, School of Economics and Management.
- Degryse, H.A. & Nguyen, G., 2004. "Interbank Exposures : An Empirical Examination of Systemic Risk in the Belgian Banking System," Discussion Paper 2004-4, Tilburg University, Center for Economic Research.
- Douglas W. Diamond & Philip H. Dybvig, 2000.
"Bank runs, deposit insurance, and liquidity,"
Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
- Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, vol. 91(3), pages 401-419, June.
- De Jonghe, Olivier & Diepstraten, Maaike & Schepens, Glenn, 2015.
"Banks’ size, scope and systemic risk: What role for conflicts of interest?,"
Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 3-13.
- De Jonghe, O.G. & Diepstraten, M. & Schepens, G., 2015. "Banks’ size, scope and systemic risk : What role for conflicts of interest?," Other publications TiSEM 87c2f000-51b4-40dd-a4a6-1, Tilburg University, School of Economics and Management.
- Shin, Hyun Song, 2008.
"Risk and liquidity in a system context,"
Journal of Financial Intermediation, Elsevier, vol. 17(3), pages 315-329, July.
- Hyun Song Shin, 2006. "Risk and liquidity in a system context," BIS Working Papers 212, Bank for International Settlements.
- Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
- Aguiar, Mark & Amador, Manuel, 2016.
"Fiscal policy in debt constrained economies,"
Journal of Economic Theory, Elsevier, vol. 161(C), pages 37-75.
- Manuel Amador & Mark Aguiar, 2011. "Fiscal Policy in Debt Constrained Economies," 2011 Meeting Papers 527, Society for Economic Dynamics.
- Mark A. Aguiar & Manuel Amador, 2011. "Fiscal Policy in Debt Constrained Economies," NBER Working Papers 17457, National Bureau of Economic Research, Inc.
- Upper, Christian, 2011. "Simulation methods to assess the danger of contagion in interbank markets," Journal of Financial Stability, Elsevier, vol. 7(3), pages 111-125, August.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2006.
"Risk Assessment for Banking Systems,"
Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
- Helmut Elsinger & Alfred Lehar & Martin Summer, 2002. "Risk Assessment for Banking Systems," Working Papers 79, Oesterreichische Nationalbank (Austrian Central Bank).
- Larry Eisenberg & Thomas H. Noe, 2001. "Systemic Risk in Financial Systems," Management Science, INFORMS, vol. 47(2), pages 236-249, February.
- Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
- Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
- Edson Bastos Santos & Rama Cont, 2010. "The Brazilian Interbank Network Structure and Systemic Risk," Working Papers Series 219, Central Bank of Brazil, Research Department.
- Adrian, Tobias & Shin, Hyun Song, 2010.
"Liquidity and leverage,"
Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
- Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
- Nikola Tarashev & Claudio Borio & Kostas Tsatsaronis, 2010. "Attributing systemic risk to individual institutions," BIS Working Papers 308, Bank for International Settlements.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007.
"Network models and financial stability,"
Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 2033-2060, June.
- Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2008. "Network models and financial stability," Bank of England working papers 346, Bank of England.
- Rama Cont & Amal Moussa & Edson B Santos, 2013. "Network structure and systemic risk in banking systems," Post-Print hal-00912018, HAL.
- repec:dau:papers:123456789/14967 is not listed on IDEAS
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2011.
"Crisis Resolution and Bank Liquidity,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(6), pages 2166-2205.
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009. "Crisis Resolution and Bank Liquidity," NBER Working Papers 15567, National Bureau of Economic Research, Inc.
- L. C. G. Rogers & L. A. M. Veraart, 2013. "Failure and Rescue in an Interbank Network," Management Science, INFORMS, vol. 59(4), pages 882-898, April.
- Leo Katz, 1953. "A new status index derived from sociometric analysis," Psychometrika, Springer;The Psychometric Society, vol. 18(1), pages 39-43, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marco Bardoscia & Paolo Barucca & Stefano Battiston & Fabio Caccioli & Giulio Cimini & Diego Garlaschelli & Fabio Saracco & Tiziano Squartini & Guido Caldarelli, 2021. "The Physics of Financial Networks," Papers 2103.05623, arXiv.org.
- Bardoscia, Marco & Barucca, Paolo & Codd, Adam Brinley & Hill, John, 2019. "Forward-looking solvency contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
- Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017.
"Macroprudential policy: A review,"
Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
- Mahdi Ebrahimi Kahou & Alfred Lehar, 2015. "Macroprudential Policy: A Review," SPP Research Papers, The School of Public Policy, University of Calgary, vol. 8(34), October.
- Nan Chen & Xin Liu & David D. Yao, 2016. "An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect," Operations Research, INFORMS, vol. 64(5), pages 1089-1108, October.
- Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
- Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
- Bluhm, Marcel & Krahnen, Jan Pieter, 2014.
"Systemic risk in an interconnected banking system with endogenous asset markets,"
Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
- Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," SAFE Working Paper Series 48, Leibniz Institute for Financial Research SAFE.
- Aikman, David & Beale, Daniel & Brinley-Codd, Adam & Covi, Giovanni & Hüser, Anne‑Caroline & Lepore, Caterina, 2023.
"Macroprudential stress‑test models: a survey,"
Bank of England working papers
1037, Bank of England.
- David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
- Bardoscia, Marco & Barucca, Paolo & Brinley Codd, Adam & Hill, John, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
- Glasserman, Paul & Young, H. Peyton, 2015. "How likely is contagion in financial networks?," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 383-399.
- Feinstein Zachary & El-Masri Fatena, 2017. "The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 113-139, September.
- Christoph Siebenbrunner, 2021. "Quantifying the importance of different contagion channels as sources of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 103-131, January.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring Network Systemic Risk Contributions: A Leave-one-out Approach," LEO Working Papers / DR LEO 2608, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Hué, Sullivan & Lucotte, Yannick & Tokpavi, Sessi, 2019.
"Measuring network systemic risk contributions: A leave-one-out approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 86-114.
- Sullivan HUE & Yannick LUCOTTE & Sessi TOKPAVI, 2018. "Measuring network systemic risk contributions: A leave-one-out approach," LEO Working Papers / DR LEO 2708, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Diem, Christian & Pichler, Anton & Thurner, Stefan, 2020.
"What is the minimal systemic risk in financial exposure networks?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
- Christian Diem & Anton Pichler & Stefan Thurner, 2019. "What is the Minimal Systemic Risk in Financial Exposure Networks?," Papers 1905.05931, arXiv.org.
- Antonio Cabrales & Piero Gottardi & Fernando Vega-Redondo, 2017.
"Risk Sharing and Contagion in Networks,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3086-3127.
- Cabrales, Antonio & Gottardi, Piero & Vega-Redondo, Fernando, 2013. "Risk-sharing and contagion in networks," UC3M Working papers. Economics we1301, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Antonio Cabrales & Piero Gottardi & Fernando Vega-Redondo, 2014. "Risk-sharing and contagion in networks," Working Papers 2014-18, FEDEA.
- Antonio Cabrales & Piero Gottardi & Fernando Vega-Redondo, 2014. "Risk-Sharing and Contagion in Networks," CESifo Working Paper Series 4715, CESifo.
- Antonio Cabrales & Piero Gottardo & Fernando Vega-Redondo, 2013. "Risk-Sharing and Contagion in Networks," Economics Working Papers ECO2013/01, European University Institute.
- Piero Gottardi & Fernando Vega-Redondo & Antonio Cabrales, 2014. "Risk Sharing and Contagion in Networks," 2014 Meeting Papers 278, Society for Economic Dynamics.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2018.
"Network models of financial systemic risk: a review,"
Journal of Computational Social Science, Springer, vol. 1(1), pages 81-114, January.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Papers 1710.11512, arXiv.org.
- Fabio Caccioli & Paolo Barucca & Teruyoshi Kobayashi, 2017. "Network models of financial systemic risk: A review," Discussion Papers 1719, Graduate School of Economics, Kobe University.
- Tathagata Banerjee & Zachary Feinstein, 2018. "Impact of Contingent Payments on Systemic Risk in Financial Networks," Papers 1805.08544, arXiv.org, revised Dec 2018.
- Paddrick, Mark & Rajan, Sriram & Young, H. Peyton, 2020. "Contagion in derivatives markets," LSE Research Online Documents on Economics 100868, London School of Economics and Political Science, LSE Library.
More about this item
Keywords
contagion of default; financial linkages; intervention policy;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-01630616. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.