Technical paper/Systemic risk
Using Shapley’s asymmetric power index to measure banks’ contributions to systemic risk
The authors address the problem of how to capture the contributions of bank failures to systemic risk.
A network-based method for visual identification of systemic risks
This paper introduces the topic of network visualization to the journal by proposing the use of a combination of data reduction techniques and overlays that allow detection of large-scale patterns and outlier activity.
Network centrality, failure prediction and systemic risk
This paper offers a promising new avenue of investigation into how information on firms’ interconnectivity can improve existing credit models.
Interoperability between central counterparties
The authors investigate interoperability from the perspective of the multilateral netting property of central clearing.
Modeling operational risk capital: the inconvenient truth
This paper shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
Network-based measures as leading indicators of market instability: the case of the Spanish stock market
This paper identifies links between time series data of stock returns for the purpose of understanding the structure of the market and for identifying early-warning signals of forthcoming market stress.
Too interconnected to fail: a survey of the interbank networks literature
This paper systematically reviews the theoretical literature on interbank networks.
Scaling operational loss data and its systemic risk implications
A scaling methodology to include external data in operational risk calculation is introduced
A bill of goods: central counterparties and systemic risk
Volume 2, Issue 4 (2014)
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model