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 …

We study the portfolio choice problem of banks, taking into account losses due to fire-sale
spillovers. We show that the optimal asset allocation can be recovered as the unique Nash …

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

In this work we present an equilibrium formulation for price impacts. This is motivated by the
Bühlmann equilibrium in which assets are sold into a system of market participants, for …

We develop a convex‐optimization clustering algorithm for heterogeneous financial
networks, in the presence of arbitrary or even adversarial outliers. In the stochastic block …

We propose a systematic algorithmic reverse‐stress testing methodology to create “worst
case” scenarios for regulatory stress tests by accounting for losses that arise from distressed …

We propose an agent-based computational model for a financial system consisting of a
network of banks with interconnected balance sheets comprising fixed assets (eg loans to …

We consider a network of bank holdings, where every holding has two subsidiaries of
different types. A subsidiary can trade with another holding's subsidiary of the same type …

We consider a network of bank holdings, where every holding has two subsidiaries of
different types. A subsidiary can trade with another holding's subsidiary of the same type …

Owing to the decentralized investment, banks always co-invest in the same asset in their
overlapped portfolio. The turbulence of the asset gives rising systemic risks to the banking …