The physics of financial networks
As the total value of the global financial market outgrew the value of the real economy,
financial institutions created a global web of interactions that embodies systemic risks …
financial institutions created a global web of interactions that embodies systemic risks …
Multiplex interbank networks and systemic importance: An application to European data
I Aldasoro, I Alves - Journal of Financial Stability, 2018 - Elsevier
Research on interbank networks and systemic importance is starting to recognise that the
web of exposures linking banks' balance sheets is more complex than the single-layer-of …
web of exposures linking banks' balance sheets is more complex than the single-layer-of …
Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions
M Gofman - Journal of Financial Economics, 2017 - Elsevier
The regulation of large interconnected financial institutions has become a key policy issue.
To improve financial stability, regulators have proposed limiting banks' size and …
To improve financial stability, regulators have proposed limiting banks' size and …
Trading and information diffusion in over‐the‐counter markets
We propose a model of trade in over‐the‐counter (OTC) markets in which each dealer with
private information can engage in bilateral transactions with other dealers, as determined by …
private information can engage in bilateral transactions with other dealers, as determined by …
Interconnectedness as a source of uncertainty in systemic risk
Financial networks have shown to be important in understanding systemic events in credit
markets. In this paper, we investigate how the structure of those networks can affect the …
markets. In this paper, we investigate how the structure of those networks can affect the …
Leveraging the network: a stress-test framework based on DebtRank
We develop a novel stress-test framework to monitor systemic risk in financial systems. The
modular structure of the framework allows to accommodate for a variety of shock scenarios …
modular structure of the framework allows to accommodate for a variety of shock scenarios …
A network-based analysis of over-the-counter markets
M Gofman - AFA 2012 Chicago meetings paper, 2011 - papers.ssrn.com
I study how intermediation in over-the-counter markets affects the efficiency of resource
allocation. I model an over-the-counter market as a trading network in which bilateral prices …
allocation. I model an over-the-counter market as a trading network in which bilateral prices …
Understanding the world economy in terms of networks: a survey of data-based network science approaches on economic networks
The purpose of this paper is to survey studies for estimating and analyzing different types of
economic networks We focus on data-based approaches that allow the direct estimation of …
economic networks We focus on data-based approaches that allow the direct estimation of …
Interbank contagion: An agent-based model approach to endogenously formed networks
The potential impact of interconnected financial institutions on interbank financial systems is
a financial stability concern for central banks and regulators. In examining how financial …
a financial stability concern for central banks and regulators. In examining how financial …
Detecting early signs of the 2007–2008 crisis in the world trade
Since 2007, several contributions have tried to identify early-warning signals of the financial
crisis. However, the vast majority of analyses has focused on financial systems and little …
crisis. However, the vast majority of analyses has focused on financial systems and little …