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 introduce a general model for the balance‐sheet consistent valuation of interbank claims
within an interconnected financial system. Our model represents an extension of clearing …

We study financial networks and reveal a new kind of systemic risk arising from what we call
default ambiguity—that is, a situation where it is impossible to decide which banks are in …

In this paper we will consider a generalized extension of the Eisenberg-Noe model of
financial contagion to allow for time dynamics in both discrete and continuous time …

In this paper, we present formulas for the valuation of debt and equity of firms in a financial
network under comonotonic endowments. We demonstrate that the comonotonic setting …

We study financial networks with debt contracts and credit default swaps between specific
pairs of banks. Given such a financial system, we want to decide which of the banks are in …

This paper provides a general framework for modeling financial contagion in a system with
obligations in multiple illiquid assets (eg, currencies). In so doing, we develop a multilayered …

We consider financial networks, where banks are connected by contracts such as debts or
credit default swaps. We study the clearing problem in these systems: we want to know …

This paper studies the spread of losses and defaults in financial networks with two
interrelated features: collateral requirements and alternative contract termination rules …

Price-mediated contagion occurs when a positive feedback loop develops following a drop
in asset prices which forces banks and other financial institutions to sell their holdings. Prior …