Contagion
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
Estimating the contagion effect through the portfolio channel using a network approach
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
Credit assets of non-banks top $44trn
Hedge funds increase loan and bond holdings the most of shadow-banking entities
Contagion risk cap threatens Aussie banks
Limiting exposures to overseas units to 25% of Tier 1 capital will constrain ANZ’s Kiwi subsidiary
Default cascades and systemic risk on different interbank network topologies
This paper examines the relationship between the topology of interbank networks and their ability to propagate localized, idiosyncratic shocks across the banking sector via banks’ interbank claims on one another.
Does international stock index arbitrage exist?
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
US G-Sibs owned over $50bn of other banks' capital in 2018
BofA Securities held the most of the group at $10.9 billion
Small banks in China carry outsized risk – research
Study shows systemic risk of smaller banks snowballs during stress periods
Harmonic distances, centralities and systemic stability in heterogeneous interbank networks
This paper investigates the effects of contagion in interbank-lending networks, with a special focus on the theoretical grounding of centrality measures.
Networks of common asset holdings: aggregation and measures of vulnerability
This paper quantifies the interrelations induced among financial institutions by common asset holdings.
Shadow banking risks still unclear, EU watchdog warns
Gaps in data prevent full assessment of almost half the shadow system, says ESRB report