Liability Concentration and Systemic Losses in Financial Networks

Published Online:https://doi.org/10.1287/opre.2015.1402

References

  • Acemoglu D, Ozdaglar A, Tahbaz-Salehi A (2014) Systemic risk and stability in financial networks. Amer. Econom. Rev. 105(2):564–608.CrossrefGoogle Scholar
  • Allen F, Gale D (2001) Financial contagion. J. Political Econom. 108(1):1–33.CrossrefGoogle Scholar
  • Amini H, Cont R, Minca A (2010) Stress testing the resilience of financial networks. Internat. J. Theoretical Appl. Finance 15(1).CrossrefGoogle Scholar
  • Angelini O, Maresca G, Russo D (1996) Systemic risk in the netting system. J. Banking Finance 20:853–868.CrossrefGoogle Scholar
  • Arnold BC, Marshall AW, Olkin I (2011) Inequalities: Theory of Majorization and Its Applications, 2nd ed. (Springer, New York).Google Scholar
  • Basel Committee on Banking Supervision (BCBS) (2012) Core Principles for Effective Banking Supervision. Accessed April 2014, http://www.bis.org/publ/bcbs230.pdf.Google Scholar
  • Basel Committee on Banking Supervision (BCBS) (2014) Supervisory Framework for Measuring and Controlling Large Exposures. Accessed April 2014, http://www.bis.org/publ/bcbs283.pdf.Google Scholar
  • Battiston S, Delli Gatti D, Callegati M, Greenwald B, Stiglitz J (2012a) Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk. J. Econom. Dynam. Control 36(8):1121–1141.CrossrefGoogle Scholar
  • Battiston S, Delli Gatti D, Callegati M, Greenwald B, Stiglitz J (2012b) Default cascades: When does risk diversification increase stability? J. Financial Stability 8(3):138–149.CrossrefGoogle Scholar
  • Capponi A, Chen PC (2015) Systemic risk mitigation in financial networks. J. Econom. Dynam. Control. 58:152–166.CrossrefGoogle Scholar
  • Cont R, Santos EB, Moussa A (2013) Network structure and systemic risk in banking systems. Fouque JP, Langsam J, eds. Handbook on Systemic Risk (Cambridge University Press, Cambridge, UK),327–368.CrossrefGoogle Scholar
  • Craig B, Von Peter G (2014) Interbank tiering and money center banks. J. Financial Intermediation 23(3):322–347.CrossrefGoogle Scholar
  • Duffie D (2014) Systemic risk exposures: A 10-by-10-by-10 approach. Brunnermeier MK, Krishnamurthy A, eds. Systemic Risk and Macro Modeling (University of Chicago Press, Chicago).Google Scholar
  • Eisenberg L, Noe T (2001) Systemic risk in financial systems. Management Sci. 47(2):236–249.LinkGoogle Scholar
  • Elliott M, Golub B, Jackson M (2013) Financial networks and contagion. Amer. Econom. Rev. 104(10):3115–3153.CrossrefGoogle Scholar
  • Elsinger H, Lehar A, Summer M (2006) Risk assessment for banking systems. Management Sci. 52(9):1301–1314.LinkGoogle Scholar
  • Fricke D, Lux T (2015) Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform. Comput. Econom. 45:359–395.CrossrefGoogle Scholar
  • Furfine C (2003) Interbank exposures: Quantifying the risk of contagion. J. Money, Credit Banking 35:11–28.CrossrefGoogle Scholar
  • Gai P, Kapadia S (2010) Contagion in financial networks. Proc. Roy. Soc. 446:2041–2423.Google Scholar
  • Gai P, Haldane A, Kapadia S (2011) Complexity, concentration, and contagion. J. Monetary Econom. 58:453–470.CrossrefGoogle Scholar
  • Glasserman P, Young HP (2015) How likely is contagion in financial networks? J. Banking Finance 50:383–399.CrossrefGoogle Scholar
  • Haldane A, May R (2011) Systemic risk in banking ecosystems. Nature 469:351–355.CrossrefGoogle Scholar
  • Rogers LCG, Veraart LAM (2013) Failure and rescue in an interbank network. Management Sci. 59(4):882–898.LinkGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.