In this work we provide a simple setting that connects the structural modeling approach of
Gai--Kapadia interbank networks with the mean-field approach to default contagion. To …

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 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 develop an agent-based model of traditional banks and asset managers to investigate
the contagion risk related to fire sales and balance sheet interactions. We take a structural …

We construct a continuous time model for price-mediated contagion precipitated by a
common exogenous stress to the banking book of all firms in the financial system. In this …

This paper studies the spread of losses and defaults in financial networks with two
interrelated features: collateral requirements and alternative contract termination rules …

In financial derivative networks, clearinghouses have been mandated as de facto central
nodes: they are buyers to the sellers of financial contracts and resellers to the ultimate …

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 …

A bi-level model is proposed to explore efficient policies for supporting negotiations on
financial crisis resolution. In a principal–agent framework, this model minimizes the welfare …

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 …