We construct a balance sheet network model to study the interconnectedness of a banking
system. A simulation analysis of the buffer effect of contingent convertible (CoCo) debt in …

Our paper contributes to the recent macroprudential policy addressing the resilience of
financial systems in terms of their interconnectedness. We argue that beneath an interbank …

Credit default swaps (CDS) played an important role in the financial crisis of 2008 leading to
calls for regulation. Here, we seek to understand the impact of a CDS regulation that restricts …

Credit default swaps (CDS) played an important role in the financial crisis of 2008. While
CDS can be used to hedge risks, they can also be used for speculative purposes (as …

This paper studies differential impact of COVID-19 on systemic risk during different phases
of lockdown on the financial institutions in India. We use SRISK as a measure of systemic …

This paper initiates the discussion on the temporal dimensions of systemic risk, building on
the pioneering work of Ortwin Renn and colleagues. Temporality is implicit in the key …

In this paper we develop and propose an online semi-non-negative matrix factorization
framework to cluster firms by their stock returns. The model is motivated by an accounting …

This dissertation is comprised of three chapters on financial institutions and risk
management, which revolve around portfolio theory, asset pricing, financial networks, and …