Dynamical Macroprudential Stress Testing Using Network Theory

No abstract is available for this paper.

• Publication year

  2014

• Venue

  Social Science Research Network

• Publication date

  2014-08-18

• Fields of study

  Economics

• Identifiers
  DOI 10.2139/SSRN.2648467
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Fire‐Sale Spillovers and Systemic Risk

  2015cited by this paper
• Stress scenario selection by empirical likelihood

  2015cited by this paper
• Too Interconnected to Fail: A Survey of the Interbank Networks Literature

  2015cited by this paper
• Systemic Risk and Stability in Financial Networks

  2015cited by this paper
• Network Security and Contagion

  2014cited by this paper
• Mapping the UK interbank system.

  2014cited by this paper
• Complex Networks: Structure and Dynamics

  2014cited by this paper
• Ranking the Economic Importance of Countries and Industries

  2014cited by this paper
• Network of Interdependent Networks: Overview of Theory and Applications

  2014cited by this paper
• A Map of Funding Durability and Risk

  2014cited by this paper
• Measuring the systemic importance of interconnected banks

  2013cited by this paper
• Systematic Scenario Selection Stress testing and the nature of uncertainty

  2013cited by this paper
• Stress tests to promote financial stability: Assessing progress and looking to the future

  2013influential reference
• The Network Origins of Large Economic Downturns

  2013cited by this paper
• The multiplex structure of interbank networks

  2013cited by this paper
• Handbook on Systemic Risk: Network Structure and Systemic Risk in Banking Systems

  2013cited by this paper
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS

  2013cited by this paper
• Department of Economics Discussion Paper Series How Likely Is Contagion in Financial Networks? How Likely Is Contagion in Financial Networks?

  2013cited by this paper
• Spontaneous recovery in dynamical networks

  2013cited by this paper
• Financial Contagion and Network Analysis

  2013cited by this paper
• Networks and webs in ecosystems and financial systems

  2013cited by this paper
• Enhanced Stress Testing and Financial Stability

  2012cited by this paper
• Cascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation

  2012cited by this paper
• Working Paper No. 465 Size and complexity in model financial systems

  2012cited by this paper
• Systemic losses in banking networks: indirect interaction of nodes via asset prices

  2012cited by this paper
• Network physiology reveals relations between network topology and physiological function

  2012cited by this paper
• Dependency Network and Node Influence: Application to the Study of Financial Markets

  2012cited by this paper
• The dog and the frisbee

  2012cited by this paper
• CORRELATIONS AND DEPENDENCIES IN THE GLOBAL FINANCIAL VILLAGE

  2012cited by this paper
• Challenges in network science: Applications to infrastructures, climate, social systems and economics

  2012cited by this paper
• Stability analysis of financial contagion due to overlapping portfolios

  2012cited by this paper
• DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk

  2012cited by this paper
• How to Find Plausible, Severe and Useful Stress Scenarios

  2012cited by this paper
• Evolvement of Uniformity and Volatility in the Stressed Global Financial Village

  2012cited by this paper
• A Network Analysis of Global Banking:1978-2009

  2011cited by this paper
• Reverse stress tests with bottom-up approaches

  2011cited by this paper
• Systemic risk in banking ecosystems

  2011cited by this paper
• Fire Sales in Finance and Macroeconomics

  2011cited by this paper
• Reform of Financial Supervisory and Regulatory Regimes: What has Been Achieved and What is Still Missing

  2011cited by this paper
• Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market

  2010cited by this paper
• Worldwide spreading of economic crisis

  2010cited by this paper
• Complex Networks: Spectral properties, transport, diffusion and dynamics

  2010cited by this paper
• When the collective acts on its components: economic crisis autocatalytic percolation

  2010cited by this paper
• Networks: An Introduction

  2010cited by this paper
• STRESS TESTING THE RESILIENCE OF FINANCIAL NETWORKS

  2010cited by this paper
• Structure and Dynamics of Networks

  2009cited by this paper
• Structure of shells in complex networks.

  2009cited by this paper
• Assessing the Systemic Implications of Financial Linkages

  2009cited by this paper
• A Network Analysis of the Italian Overnight Money Market

  2008cited by this paper
• Mutual guarantee institutions and small business finance

  2008cited by this paper
• La topología de redes como herramienta de Seguimiento en el sistema de Pagos de Alto Valor en Colombia

  2008cited by this paper
• Networks in Finance

  2008cited by this paper
• Universality of citation distributions: Toward an objective measure of scientific impact

  2008cited by this paper
• Correlation, Hierarchies, and Networks in Financial Markets

  2008cited by this paper
• A Short Guide to Managing Risk in Worst Case Scenarios

  2007cited by this paper
• THE ECONOMIC LIMITS OF TRUST: THE CASE OF A LATIN-AMERICAN URBAN INFORMAL COMMERCE SECTOR

  2007cited by this paper
• Network Models and Financial Stability

  2007cited by this paper
• Financial Networks, Cross Holdings, and Limited Liability

  2007cited by this paper
• Economía política y política económica para la Venezuela del siglo XXI: "El Estado Fofo"

  2006cited by this paper
• Structure and tie strengths in mobile communication networks

  2006cited by this paper
• Liquidity Risk and Contagion

  2005cited by this paper
• Using Market Information for Banking System Risk Assessment

  2005cited by this paper
• The Future of Central Banking

  2005influential reference
• Fractal Network derived from banking transaction -- An analysis of network structures formed by financial institutions --

  2004cited by this paper
• Interbank Exposures: Quantifying the Risk of Contagion

  2003cited by this paper
• Network topology of the interbank market

  2003cited by this paper
• Colapso : la crisis bancaria venezolana de 1994

  2002cited by this paper
• Efficient immunization strategies for computer networks and populations.

  2002cited by this paper
• Risk Assessment for Banking Systems ∗

  2002cited by this paper
• Topology of correlation-based minimal spanning trees in real and model markets.

  2002cited by this paper
• Estimating Bilateral Exposures in the German Interbank Market: Is There a Danger of Contagion?

  2002cited by this paper
• The web of human sexual contacts

  2001cited by this paper
• Epidemic spreading in scale-free networks.

  2000cited by this paper
• On power-law relationships of the Internet topology

  1999cited by this paper
• Social percolation models

  1999cited by this paper
• Emergence of Scaling in Random Networks

  1999cited by this paper
• Optimal Financial Crises

  1998cited by this paper
• The efficiency effects of bank mergers and acquisition: A preliminary look at the 1990s data

  1998cited by this paper
• Experiencia internacional en la solución de crisis bancarias

  1998cited by this paper
• New view of bank consolidation

  1998cited by this paper
• The Herfindahl-Hirschman index

  1993cited by this paper
• El Caso Venezuela : una ilusión de armonía

  1985cited by this paper
• Federal Reserve Bank of New York Staff Reports the Topology of Interbank Payment Flows the Topology of Interbank Payment Flows

  year unknowncited by this paper

• Extending Maximum-Entropy Interbank Reconstruction to a Multi-Country Framework with Cross-Border Exposures

  2026cites this paper
• Vulnerability in Bank–Asset Bipartite Network Systems: Evidence from the Chinese Banking Sector

  2026cites this paper
• Financial contagion within the interbank network

  2025cites this paper
• Predicting Financial Market Crises using Multilayer Network Analysis and LSTM-based Forecasting of Spillover Effects

  2025cites this paper
• Integrating metals and minerals into climate-economic models: a review

  2025cites this paper
• The delayed era of network economics: ongoing opportunities for dynamic socio-economic network models

  2025cites this paper
• Contagion mechanism of liquidity risk in the interbank network

  2024cites this paper
• Extreme risk contagions among fossil energy companies in China: Insights from a multilayer dynamic network analysis

  2024cites this paper
• Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan

  2024cites this paper
• Analysis of tail risk contagion among industry sectors in the Chinese stock market during the COVID-19 pandemic

  2024cites this paper
• Research on the mechanism and application of spatial credit risk contagion based on complex network model

  2024cites this paper
• Stress testing climate risk: A network-based analysis of the Chinese banking system

  2024cites this paper
• Estimating the Impact of Supply Chain Network Contagion on Financial Stability

  2023cites this paper
• Interconnectedness of financial institutions based on pledged shares in China

  2023cites this paper
• Financial Networks and Systemic Risk Vulnerabilities: A Tale of Indian Banks

  2023cites this paper
• Financial Contagion within the Interbank Network

  2023cites this paper
• Systemic Risk Analysis of Multi-Layer Financial Network System Based on Multiple Interconnections between Banks, Firms, and Assets

  2022cites this paper
• Journal of Financial Stability

  2022cites this paper
• Backtesting Macroprudential Stress Tests

  2022cites this paper
• Network Effects and Characteristics of Cross-Industrial Tail Risk Spillover in China

  2022cites this paper
• Analysis of risk correlations among stock markets during the COVID-19 pandemic

  2022cites this paper
• Information networks in the financial sector and systemic risk

  2022cites this paper
• An integrated macroprudential stress test of bank liquidity and solvency

  2022influential citation
• Volatility and Risk in the Energy Market: A Trade Network Approach

  2021cites this paper
• Dynamic connectedness of major financial markets in China and America

  2021cites this paper
• Systemic Risk Caused by the Overlapping Portfolios of Banks Under a Bilateral Network

  2021influential citation
• The contribution of South Africa’s insurers to systemic risk: thoughts for policymakers

  2021cites this paper
• Portfolio Correlations in the Bank-Firm Credit Market of Japan

  2021cites this paper
• Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

  2021cites this paper
• Real estate bubbles in a bank-real estate loan network model integrating economic cycle and macro-prudential stress testing

  2020cites this paper
• Backtesting Macroprudential Stress Tests

  2020cites this paper
• Common asset holdings and systemic vulnerability across multiple types of financial institution

  2020cites this paper
• Multi‐dimensional economic connectivity: benefits, risks, and policy implications

  2020cites this paper
• Modeling the Impact of the COVID-19 Outbreak on Regional Industry Risk Contagion

  2020cites this paper
• Reconstructing and stress testing credit networks

  2020cites this paper
• Systemic Importance of China’s Financial Institutions: A Jump Volatility Spillover Network Review

  2020cites this paper
• Crowded Trades, Market Clustering, and Price Instability

  2020cites this paper
• A Hybrid Deep Learning Approach for Systemic Financial Risk Prediction

  2020cites this paper
• Structural systemic risk: evolution and main drivers

  2020influential citation
• Multilayer information spillover networks: measuring interconnectedness of financial institutions

  2020cites this paper
• Modeling Risk Contagion in the Venture Capital Market: A Multilayer Network Approach

  2019cites this paper
• Leveraging Network Theory and Stress Tests to Assess Interdependencies in Critical Infrastructures

  2019cites this paper
• Dynamic Systemic Risk: Networks in Data Science

  2019cites this paper
• Comprehensively Stress Testing the Economy in Closed Form

  2019cites this paper
• Modeling, analysis and mitigation of contagion in financial systems

  2019cites this paper
• Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging Market

  2019cites this paper
• Analysing the systemic risk of Indian banks

  2019cites this paper
• The Network Effect in Credit Concentration Risk.

  2019cites this paper
• Analysing mesoscale structures in economic and financial networks

  2019cites this paper
• Forecasting Financial Networks

  2019cites this paper
• How the ownership structures cause epidemics in financial markets: A network-based simulation model

  2018cites this paper
• Systemic importance analysis of chinese financial institutions based on volatility spillover network

  2018cites this paper
• Maximum entropy approach to link prediction in bipartite networks

  2018cites this paper
• Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”

  2018cites this paper
• A survey of network-based analysis and systemic risk measurement

  2018cites this paper
• A network approach to unravel asset price comovement using minimal dependence structure

  2018cites this paper
• Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing

  2018cites this paper
• Are Basel's Capital Surcharges for Global Systemically Important Banks Too Small?

  2017cites this paper
• Predicting stock market movements using network science: an information theoretic approach

  2017cites this paper
• The interconnected nature of financial systems: Direct and common exposures

  2017cites this paper
• Simulation of Contagion in the Stock Markets Using Cross-Shareholding Networks: A Case from an Emerging Market

  2017cites this paper
• An analysis of the literature on systemic financial risk: A survey

  2017cites this paper
• Interconnectedness in the global financial market

  2017cites this paper
• Are Basel’s Capital Surcharges for Global Systemically Important Banks Too Small?

  2017cites this paper
• A Regulation Model for the Solvency of Banking System: Based on the Pinning Control Theory of Complex Network

  2017cites this paper
• Interconnectedness and systemic risk of China's financial institutions

  2017cites this paper
• From Ecology to Finance (and Back?): A Review on Entropy-Based Null Models for the Analysis of Bipartite Networks

  2017influential citation
• Monitoring transmission of systemic risk: Application of PLS-SEM in financial stress testing

  2017cites this paper
• Analysis of banks’ systemic risk contribution and contagion determinants through the leave-one-out approach

  2017cites this paper
• A quantitative framework for testing the resilience of Islamic finance portfolios under IFSB and Basel capital rules

  2017cites this paper
• A Study of Financial Contagion in Interbank System

  2016cites this paper
• Working Paper Series No 84 / September 2018 Reconstructing and stress testing credit networks by

  2016cites this paper
• The effects of the supply of credit on real estate prices: Venezuela as a policy laboratory

  2016cites this paper
• Peer Reviewed Title: Essays on Monetary Policy, Global Financial Flows and Financial Stability Author:

  2016cites this paper
• Brokers’ financial network and stock return

  2016cites this paper
• A survey of network-based analysis and systemic risk measurement

  2016cites this paper
• Forecasting Credit Risk in Banks Listed on Tehran Stock Exchange

  2016cites this paper
• Matrix Metrics: Network-Based Systemic Risk Scoring

  2016cites this paper
• Discovering SIFIs in Interbank Communities

  2016cites this paper
• The Effect of Diversification on Financial Contagion

  2016cites this paper
• A financial network perspective of financial institutions’ systemic risk contributions

  2016cites this paper
• Pathways towards instability in financial networks

  2016cites this paper
• Matrix Metrics : Network-Based Systemic Risk Scoring Sanjiv

  2015cites this paper
• Contagion in a Financial System

  2015cites this paper
• Monitoring Transmission of Systemic Risk from Shadow Banking to Regulated Banking

  2015cites this paper
• Network science: a useful tool in economics and finance

  2015cites this paper