Limit Theorems for Default Contagion and Systemic Risk
Published Online:27 Dec 2023https://doi.org/10.1287/moor.2021.0283
References
- [1] (2015) Systemic risk and stability in financial networks. Amer. Econom. Rev. 105(2):564–608.Crossref, Google Scholar
- [2] (2017) Measuring systemic risk. Rev. Financial Stud. 30(1):2–47.Crossref, Google Scholar
- [3] (2010) Bootstrap percolation and diffusion in random graphs with given vertex degrees. Electronic J. Combinatorics 17:R25.Crossref, Google Scholar
- [4] (2023) Contagion risks and security investment in directed networks. Math. Financial Econom. 17(2):247–283.Crossref, Google Scholar
- [5] (2023) Optimal network compression. Eur. J. Oper. Res. 306(3):1439–1455.Crossref, Google Scholar
- [6] (2014) Bootstrap percolation in power-law random graphs. J. Statist. Phys. 155:72–92.Crossref, Google Scholar
- [7] (2016) Inhomogeneous financial networks and contagious links. Oper. Res. 64(5):1109–1120.Link, Google Scholar
- [8] (2023) A central limit theorem for diffusion in sparse random graphs. J. Statist. Phys. 190(3):57.Crossref, Google Scholar
- [9] (2021) Fire sales, default cascades and complex financial networks. Preprint, submitted October 4, https://dx.doi.org/10.2139/ssrn.3935450.Google Scholar
- [10] (2023) The default cascade process in stochastic financial networks. 4th ACM Internat. Conf. AI Finance (Association for Computing Machinery, New York), 227–234.Google Scholar
- [11] (2016) Resilience to contagion in financial networks. Math. Finance 26(2):329–365.Crossref, Google Scholar
- [12] (2015) Control of interbank contagion under partial information. SIAM J. Financial Math. 6(1):1195–1219.Crossref, Google Scholar
- [13] (2021) A dynamic contagion risk model with recovery features. Math. Oper. Res. 47(2):1412–1442.Link, Google Scholar
- [14] (2015) Filling in the blanks: Network structure and interbank contagion. Quant. Finance 15(4):625–636.Crossref, Google Scholar
- [15] (2014) A balls-and-bins model of trade. Amer. Econom. Rev. 104(7):2127–2151.Crossref, Google Scholar
- [16] (2016) The formation of financial networks. RAND J. Econom. 47(2):239–272.Crossref, Google Scholar
- [17] (1968) Convergence of Probability Measures (Wiley, New York).Google Scholar
- [18] (2004) Network topology of the interbank market. Quant. Finance 4(6):677–684.Crossref, Google Scholar
- [19] (2013) An axiomatic approach to systemic risk. Management Sci. 59(6):1373–1388.Link, Google Scholar
- [20] (2013) Network structure and systemic risk in banking systems. Fouque J-P, Langsam JA, eds. Handbook of Systemic Risk (Cambridge University Press, Cambridge, UK), 327–368.Crossref, Google Scholar
- [21] (2014) How clustering affects epidemics in random networks. Adv. Appl. Probab. 46(4):985–1008.Crossref, Google Scholar
- [22] (2014) Interbank tiering and money center banks. J. Financial Intermediation 23(3):322–347.Crossref, Google Scholar
- [23] (2021) Compressing over-the-counter markets. Oper. Res. 69(6):1660–1679.Link, Google Scholar
- [24] (2019) Managing default contagion in inhomogeneous financial networks. SIAM J. Financial Math. 10(2):578–614.Crossref, Google Scholar
- [25] (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.Link, Google Scholar
- [26] (2014) Financial networks and contagion. Amer. Econom. Rev. 104(10):3115–3153.Crossref, Google Scholar
- [27] (2022) Network formation and systemic risk. Eur. Econom. Rev. 148:104213.Crossref, Google Scholar
- [28] (2017) Measures of systemic risk. SIAM J. Financial Math. 8(1):672–708.Crossref, Google Scholar
- [29] (2015) Core–periphery structure in the overnight money market: Evidence from the e-mid trading platform. Comput. Econom. 45(3):359–395.Crossref, Google Scholar
- [30] (2010) Contagion in financial networks. Proc. Roy. Soc. A Math. Physical Engrg. Sci. 466(2120):2401–2423.Google Scholar
- [31] (2020) Targeting interventions in networks. Econometrica 88(6):2445–2471.Crossref, Google Scholar
- [32] (2017) A Bayesian methodology for systemic risk assessment in financial networks. Management Sci. 63(12):4428–4446.Link, Google Scholar
- [33] (2015) How likely is contagion in financial networks? J. Banking Finance 50:383–399.Crossref, Google Scholar
- [34] (2021) Systemic risk in financial networks: A survey. Annual Rev. Econom. 13(1):171–202.Crossref, Google Scholar
- [35] (2013) Limit Theorems for Stochastic Processes, vol. 288 (Springer Science & Business Media, New York).Google Scholar
- [36] (2009) On percolation in random graphs with given vertex degrees. Electronic J. Probab. 14:86–118.Crossref, Google Scholar
- [37] (2008) Asymptotic normality of the k-core in random graphs. Ann. Appl. Probab. 18(3):1085–1137.Crossref, Google Scholar
- [38] (2012) Bootstrap percolation on the random graph Gn,p. Ann. Appl. Probab. 22(5):1989–2047.Crossref, Google Scholar
- [39] (1997) Foundations of Modern Probability, vol. 2 (Springer, Berlin).Google Scholar
- [40] (2007) Cascading behavior in networks: Algorithmic and economic issues. Nisan N, Roughgarden T, Tardos E, Vazirani VV, eds. Algorithmic Game Theory (Cambridge University Press, Cambridge, UK), 613–632.Crossref, Google Scholar
- [41] (2016) Systemic risk measures on general probability spaces. Math. Methods Oper. Res. 84(2):323–357.Crossref, Google Scholar
- [42] (2012) Diffusion and cascading behavior in random networks. Games Econom. Behav. 75(2):752–775.Crossref, Google Scholar
- [43] (2006) Interbank credit lines as a channel of contagion. J. Financial Services Res. 29(1):37–60.Crossref, Google Scholar
- [44] (2007) Network models and financial stability. J. Econom. Dynam. Control 31(6):2033–2060.Crossref, Google Scholar
- [45] (2013) Failure and rescue in an interbank network. Management Sci. 63(12):4428–4446.Google Scholar
- [46] (2000) Diffusions, Markov Processes, and Martingales, 2nd ed., Cambridge Mathematical Library, vol. 1 (Cambridge University Press, Cambridge, UK).Google Scholar
- [47] (2018) Interconnectedness as a source of uncertainty in systemic risk. J. Financial Stability 35:93–106.Crossref, Google Scholar
- [48] (2016) CoVaR. Amer. Econom. Rev. 106(7):1705–1741.Crossref, Google Scholar
- [49] (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
- [50] (2016) Random Graphs and Complex Networks (Cambridge University Press, Cambridge, UK).Crossref, Google Scholar
- [51] (2016) Hierarchical configuration model. Internet Math., https://www.researchgate.net/publication/288713619_Hierarchical_Configuration_Model.Google Scholar
- [52] (2022) When does portfolio compression reduce systemic risk? Math. Finance 32(3):727–778.Crossref, Google Scholar

