Lehman Brothers’ failure in 2008 demonstrated the importance of understanding interconnectedness in interbank networks. The interbank market plays a significant role in facilitating market liquidity and providing short-term funding for each oth...
The notions of systemic importance and systemic risk of financial institutions are closely related to the topology of financial liability networks. In this work, we reconstruct and analyze the financial liability network of an entire economy using da...
The research of financial systemic risk is an important issue, however the research on the financial systemic risk in ASEAN region lacks. This paper uses the minimum density method to calculate the interbank network of ASEAN countries and uses the no...
The systematicness of banks is an important driver of financial crisis. Overlapping portfolios and assets correlation of banks’ investment are important reasons for systemic risk contagion. The existing systemic risk models are all analyzed fro...
This paper adopts the Kinetic Theory for Active Particles (KTAP) approach to model the dynamics of liquidity profiles on a complex adaptive network system that mimic a stylized financial market. Individual incentives of investors to form or delete a...
We study the structural correlations in the Italian overnight money market over the period 1999–2010. We show that the structural correlations vary across different versions of the network. Moreover, we employ different configuration models and exami...
Our paper employs complex network theory and the SEIQRS epidemic model based on the dynamics of differential equations to investigate the contagion mechanisms of financial risk within banking systems and to evaluate rescue strategies. A scale-free in...
In this study, we create a new monitoring system for change detection in sparse attributed network streams with multilevel or nested dynamic structures. To achieve this, we hypothesize that the contingency of establishing an edge between two network...
Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and syste...
In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out...
Shadow banking is a main way for the financial market to serve the real economy today, and this process is closely related to systemic risk. This study examines the impact of shadow banking associated with sustainable development in China’s ban...
Interconnectedness among banks is a key distinguishing feature of the banking system. It helps mitigate liquidity problems but on the other hand, acts as a curse in propagating systemic risk at times of distress. Thus, as banks cannot function in iso...
In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) sp...
Global financial systems are increasingly interconnected, and risks can spread more easily, potentially causing systemic risks. Research on systemic risk based on multi-layer financial networks is relatively scarce, and studies usually focus on only...
In this study, we propose a semiparametric, parsimonious value-at-risk forecasting model, based on quantile regression and machine learning methods, combined with readily available market prices of option contracts from the over-the-counter foreign e...
This paper develops a simplified agent-based model to investigate the dynamics of risk transfer and its implications for systemic risk within financial networks, focusing specifically on credit default swaps (CDSs) as instruments of risk allocation a...
This study investigates how global monetary and oil shocks propagate across advanced and pegged oil economies, focusing on the United States, Germany, the United Kingdom, Saudi Arabia, and the United Arab Emirates over the period 2015–2023. It...
Since 2018, the bond market has surpassed the stock market, becoming the biggest investment area in China’s security market, and the systemic risks of China’s bond market are of non-negligible importance. Based on daily interest rate data of represen...
Fintech facilitates financial inclusion by introducing new sustainable and accessible business models in developing countries. Open banking API technology is used by various fintech businesses in both developing and developed countries, with varying...