Vulnerability Analysis of the Financial Network

References

• Acemoglu D, Ozdaglar A, Tahbaz-Salehi A (2013) Systemic risk and stability in financial networks. Amer. Econom. Rev. 105(2):564–608.Crossref, Google Scholar
• Allen F, Gale D (2000) Financial contagion. J. Political Econom. 108(1):1–33.Crossref, Google Scholar
• Battiston S, Delli Gatti D, Callegati M, Greenwald B, Stiglitz J (2012a) Default cascades: When does risk diversification increase stability? J. Financial Stabil. 8(3):138–149.Crossref, Google Scholar
• Battiston S, Delli Gatti D, Callegati M, Greenwald B, Stiglitz J (2012b) Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk. J. Econom. Dynam. Control 36(8):1121–1141.Crossref, Google Scholar
• Berman A, Plemmons RJ (1979) Nonnegative Matrices in the Mathematical Science (SIAM, Philadelphia).Google Scholar
• Boyd S, Vandenberghe L (2004) Convex Optimization (Cambridge University Press, New York).Crossref, Google Scholar
• Capponi A, Chen PC, Yao DD (2016) Liability concentration and systemic losses in financial networks. Oper. Res. 64(5):1121–1134.Link, Google Scholar
• Chen N, Liu X, Yao DD (2016) An optimization view of financial systemic risk modeling: Network effect and the market liquidity effect. Oper. Res. 64(5):1089–1108.Link, Google Scholar
• Cocco JF, Gomes FJ, Martins NC (2009) Lending relationships in the interbank market. J. Financial Intermediation 18(1):24–48.Crossref, Google Scholar
• Cont R, Santos EB, Moussa, A (2010) Network structure and systemic risk in banking systems. Fouque JP, Langsam J, eds. Handbook of Systemic Risk (Cambridge University Press, Cambridge, UK), 327–368.Crossref, Google Scholar
• Eisenberg L, Noe TH (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.Link, Google Scholar
• Elsinger H (2009) Financial networks, cross holdings, and limited liability. Working paper, Oesterreichische Nationalbank, Wien-Alsergrund, Austria.Google Scholar
• Elsinger H, Lehar A, Summer M (2006a) Risk assessment for banking systems. Management Sci. 52(9):1301–1314.Link, Google Scholar
• Elsinger H, Lehar A, Summer M (2006b) Using market information for banking system risk assessment. Internat. J. Central Banking 2(1):137–165.Google Scholar
• Elsinger H, Lehar A, Summer M (2013) Network models and systemic risk assessment. Handbook on Systemic Risk (Cambridge University Press, Cambridge, UK), 287–305.Crossref, Google Scholar
• Federal Deposit Insurance Corporation (2013) The financial report of Bank of America California, national association. Accessed October 1, 2013, https://www5.fdic.gov/idasp/main2.asp.Google Scholar
• Gai P, Kapadia S (2010) Contagion in financial networks. Proc. Roy. Soc. A 466(2120):2401–2423.Crossref, Google Scholar
• Gai P, Haldane A, Kapadia S (2011) Complexity, concentration, and contagion. J. Monetary Econom. 58(5):453–470.Crossref, Google Scholar
• Glasserman P, Young HP (2015) How likely is contagion in financial networks? J. Banking Finance 50:383–399.Crossref, Google Scholar
• Grant M, Boyd S (2013) CVX: Matlab software for disciplined convex programming, Version 2.0 beta. Accessed September 2013, http://cvxr.com/cvx.Google Scholar
• Khabazian A, Peng J (2017) Assessment and control of systemic risk under uncertain liabilities. Technical report, Department of Industrial Engineering, University of Houston, TX.Google Scholar
• Lane PR (2012) The European sovereign debt crisis. J. Econom. Perspect. 26(3):49–67.Crossref, Google Scholar
• Liu M, Staum J (2010) Sensitivity analysis of the Eisenberg-Noe model of contagion. Oper. Res. Lett. 38(5):489–491.Crossref, Google Scholar
• Mangasarian OL, Shiau TH (1987) Lipschitz continuity of solutions of linear inequalities, programs and complementarity problems. SIAM J. Control Optim. 25(3):583–595.Crossref, Google Scholar
• Murphy A (2008) An analysis of the financial crisis of 2008: Causes and solutions. SSRN Report 1295344, https://ssrn.com/abstract=1295344.Google Scholar
• Pokutta S, Schmaltz C, Stiller S (2011) Measuring systemic risk and contagion in financial networks. SSRN Report 1773089, https://ssrn.com/abstract=1773089.Google Scholar
• Upper C, Worms A (2004) Estimating bilateral exposures in the German interbank market: Is there a danger of contagion? Eur. Econom. Rev. 48(4):827–849.Crossref, Google Scholar
• Vanderbei RJ (2013) Linear Programming: Foundations and Extensions, 4th ed. (Springer, Boston).Google Scholar