This article aims to present the latest status of literature based on the Financial Contagion
and Volatility Spillover in the context of the financial stock market by reviewing the past …

Price-mediated contagion occurs when a positive feedback loop develops following a drop
in asset prices which forces banks and other financial institutions to sell their holdings. Prior …

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 …

A generalized game is a situation in which interaction between agents occurs not only
through their objective function but also through their strategy sets; the strategy set of each …

In this paper we consider continuity of the set of Nash equilibria and approximate Nash
equilibria for parameterized games. For parameterized games with unique Nash equilibria …

We offer a stress test framework in which interaction between regulated banks occurs
through the impact they may have on asset prices when they deleverage. Because banks …

We build a balance sheet-based model to capture run risk, ie, a reduced potential to raise
capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by …

We consider a network of banks that optimally choose a strategy of asset liquidations and
borrowing in order to cover short term obligations. The borrowing is done in the form of …

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

When hit with an adverse shock, banks that do not comply with capital regulation sell risky
assets to satisfy their solvency constraint. When financial markets are imperfectly …