In this paper, we construct a decentralized clearing mechanism which endogenously and
automatically provides a claims resolution procedure. This mechanism can be used to clear …

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

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 examine the comprehensive causal impact of interbank deposits on bank systemic risk
by using an international sample of Group of Twenty (G20) listed banks. Using the global …

Financial contagion has been widely recognized as a fundamental risk to the financial
system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms …

We study portfolio compression, a procedure that removes cycles of liabilities in a financial
network. We analyze the effect of compression on social welfare and the banks' incentives to …

We consider a general tractable model for default contagion and systemic risk in a
heterogeneous financial network subjected to an exogenous macroeconomic shock. We …

We study networks of financial institutions where only aggregate information on liabilities is
available. We introduce the robust liability network, that is, the network with the worst …

We present a general tractable framework for understanding the joint impact of fire sales and
default cascades on systemic risk in complex financial networks. Our limit theorems quantify …

Given limited network information, we consider robust risk quantification under the
Eisenberg–Noe model for financial networks. To be more specific, motivated by the fact that …