The paper provides a comprehensive overview of modeling and pricing cyber insurance and
includes clear and easily understandable explanations of the underlying mathematical …

The quantification of downside risk in terms of capital requirements is a key issue for both
regulators and the financial industry. This review presents the axiomatic approach, which is …

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 …

Systemic risk refers to the risk that the financial system is susceptible to failures due to the
characteristics of the system itself. The tremendous cost of systemic risk requires the design …

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 …

In this paper, we develop a framework for measuring, allocating and managing systemic risk.
SystRisk, our measure of total systemic risk, captures the a priori cost to society for providing …

Bayesian network (BN) is a popularly used approach for risk analysis. Because it is a
graphic model being able to deal with randomness yet unable to model ambiguity, the fuzzy …

We quantify how much systemic risk can be eliminated in financial contract networks by
rearranging their network topology. By using mixed integer linear programming, financial …

The ongoing concern about systemic risk since the outburst of the global financial crisis has
highlighted the need for risk measures at the level of sets of interconnected financial …

We examine the effects on a financial network of multilateral clearing via a central clearing
counterparty (CCP) from an ex ante and ex post perspective. The CCP is capitalized with …