In this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
In this paper, the authors review the different methods designed to estimate matrixes from their marginals and potentially exogenous information.
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
The author models interactions between financial transactions and expectations and describe asset pricing and return disturbances.
Research throws more light on the hidden risks of central clearing
More countries now capable of triggering a wider crisis
This work studies contagion risk through the portfolio investment channel using network analysis and simulation on bilateral cross-country data.
This paper uses a twenty-year data set of all publicly listed US firms from 1995 to 2014 to create a unique measure of both the extent and the scope of firm-level multinationality.
This paper provides insight into how the collected data pursuant to the EMIR can be used to shed light on the complex network of interrelations underlying the financial markets.
In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach.
In this paper, the authors show how to exploit the available data to build portfolios that better fit the risk profiles of investors. This is made possible, on the one hand, by constructing groups of homogeneous risk profiles based on user responses to…
In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
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.
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
In shadow of Metro Bank WhatsApp episode, panellists warn banks need to deftly handle social media blow-ups
This paper investigates the effects of contagion in interbank-lending networks, with a special focus on the theoretical grounding of centrality measures.
Structural changes in the interbank market across the financial crisis from multiple core–periphery analysis
In this work, the authors employ the KM–ER algorithm to characterize the internal organization of eMID.
This paper quantifies the interrelations induced among financial institutions by common asset holdings.