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 …

We explore the 2020 and early 2021 price variation of four stocks: GameStop, AMC
Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a …

We identify and track over time the factors that make the financial system vulnerable to fire
sales by constructing an index of aggregate vulnerability. The index starts increasing quickly …

Whether responsible investing reduces portfolio risk remains open to discussion. We study
the relationship between ESG performance and downside risk at fund level in the Chinese …

One way systemic risk can crystallise is through fire sales of commonly held assets. This
paper examines fire sale vulnerabilities across different types of financial institution …

We develop a model of the feedback between mutual fund outflows and asset illiquidity.
Following a market shock, alert investors anticipate the impact on a fund's net asset value …

This paper develops a framework for the short-term modelling of market risk and shock
propagation in the investment funds sector, including bi-layer contagion effects through …

Network theory proved recently to be useful in the quantification of many properties of
financial systems. The analysis of the structure of investment portfolios is a major application …

This paper shows how the combined endogenous reaction of banks and investment funds to
an exogenous shock can amplify or dampen losses to the financial system compared to …

Financial networks are an important source of systemic risk, but often only partial network
information is available. In this paper, we use data on bank-firm credit relationships in Japan …