Macroprudential policy: A review

ME Kahou, A Lehar - Journal of financial stability, 2017 - Elsevier
The severity and longevity of the recession caused by the 2007 financial crisis has
highlighted the lack of a reliable macro-based financial regulation framework. As a …

Financial contagion and network analysis

M Summer - Annu. Rev. Financ. Econ., 2013 - annualreviews.org
Network models of interbank exposures allow the mapping of the complex web of financial
linkages among many institutions and address issues of system stability and contagion risk …

[图书][B] Systemic risk, crises, and macroprudential regulation

X Freixas, L Laeven, JL Peydró - 2015 - books.google.com
A framework for macroprudential regulation that defines systemic risk and macroprudential
policy, describes macroprudential tools, and surveys the effectiveness of existing …

Filling in the blanks: Network structure and interbank contagion

K Anand, B Craig, G Von Peter - Quantitative Finance, 2015 - Taylor & Francis
The network pattern of financial linkages is important in many areas of banking and finance.
Yet, bilateral linkages are often unobserved, and maximum entropy serves as the leading …

A study of systemic risk of global stock markets under COVID-19 based on complex financial networks

Y Lai, Y Hu - Physica A: Statistical Mechanics and its Applications, 2021 - Elsevier
In this paper, Granger causalities of stock markets of 20 different countries are estimated
from Aug 2019 to Mar 2020. Also, the complex network for global stock markets is …

Too interconnected to fail: A survey of the interbank networks literature

AC Hüser - 2015 - papers.ssrn.com
The banking system is highly interconnected and these connections can be conveniently
represented as an interbank network. This survey presents a systematic overview of the …

The missing links: A global study on uncovering financial network structures from partial data

K Anand, I Van Lelyveld, Á Banai, S Friedrich… - Journal of Financial …, 2018 - Elsevier
Capturing financial network linkages and contagion in stress test models are important goals
for banking supervisors and central banks responsible for micro-and macroprudential policy …

A Bayesian methodology for systemic risk assessment in financial networks

A Gandy, LAM Veraart - Management Science, 2017 - pubsonline.informs.org
We develop a Bayesian methodology for systemic risk assessment in financial networks
such as the interbank market. Nodes represent participants in the network, and weighted …

Interbank contagion: An agent-based model approach to endogenously formed networks

A Liu, M Paddrik, SY Yang, X Zhang - Journal of Banking & Finance, 2020 - Elsevier
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 …

Robust and sparse banking network estimation

G Torri, R Giacometti, S Paterlini - European Journal of Operational …, 2018 - Elsevier
Network analysis is becoming a fundamental tool in the study of systemic risk and financial
contagion in the banking sector. Still, the network structure must typically be estimated from …