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 …

We develop a dynamic model to study the systemic risk of the banking network, so as to
study the dynamics of bank defaults. In contrast to the existing literature, we show that while …

We develop a framework for price-mediated contagion in financial systems where banks are
forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In …

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 …

In this work we introduce a model of default contagion that combines the approaches of
Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed …

Fire sales are among the major drivers of market instability in modern financial systems. Due
to iterated distressed selling and the associated price impact, initial shocks to some …

We consider a network of banks that optimally choose a strategy of asset liquidations and
borrowing in order to cover short term obligations. The borrowing is done in the form of …

In this paper, we consider the optimal strategies in asset allocation, consumption, and life
insurance for a household with an exogenous stochastic income under a self-contagious …

This paper investigates systemic risk measures for stochastic financial networks of explicitly
modelled bilateral liabilities. We extend the notion of systemic risk measures from Biagini …

Interconnectedness is an inherent feature of the modern financial system. While it
contributes to efficiency of financial services, it also creates structural vulnerabilities …