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 …

Cybersecurity risk modeling and pricing are becoming a spotlight in actuarial science and
operational research. This paper pertains to the analysis of the cybersecurity risks involved …

Assessing the impact of climate risks on the financial system is one of the most urgent issues
currently. We build a network-based climate risk model to explain how a shock from climate …

In today's interconnected commodity markets, understanding volatility spillover dynamics is
crucial. This research builds on Diebold & Yilmaz (2012, 2014) to estimate System …

We consider the problem of systemic risk assessment in interbank networks in which
interbank liabilities can have multiple maturities. In particular, we allow for both short-term …

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 provide a simple and tractable accounting-based stress-testing framework to assess loss
dynamics in the banking sector, in a context of leverage targeting. Contagion can occur …

We analyze the consequences of portfolio compression for systemic risk. Portfolio
compression is a post‐trade netting mechanism that reduces gross positions while keeping …

This paper provides a framework for modeling financial contagion in a network subject to fire
sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We …

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 …